"Exact sampling of the infinite horizon maximum of a random walk over a ..."

Jose H. Blanchet, Jing Dong, Zhipeng Liu (2019)

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DOI: 10.1017/JPR.2019.9

access: closed

type: Journal Article

metadata version: 2024-08-04

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Jose H. Blanchet, Jing Dong, Zhipeng Liu:
Exact sampling of the infinite horizon maximum of a random walk over a nonlinear boundary. J. Appl. Probab. 56(1): 116-138 (2019)

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