Geometrically convergent simulation of the extrema of Lévy processes. Cázares, J. I. G., Mijatović, A., & Uribe Bravo, G. Math. Oper. Res., 47(2):1141–1168, 2022. ![Geometrically convergent simulation of the extrema of Lévy processes [link]](https://bibbase.org/img/filetypes/link.svg "link")
Paper doi bibtex @article{MR4435010,
author = {C\'{a}zares, Jorge Ignacio Gonzalez and Mijatovi\'{c}, Aleksandar and {Uribe Bravo}, Ger{\'o}nimo},
date-added = {2022-09-09 12:25:39 -0500},
date-modified = {2023-01-05 12:50:01 -0600},
doi = {10.1287/moor.2021.1163},
fjournal = {Mathematics of Operations Research},
issn = {0364-765X},
journal = {Math. Oper. Res.},
keywords = {L{\'e}vy Processes, Fluctuation Theory, Simulation},
mrclass = {60G51 (65C05)},
mrnumber = {4435010},
number = {2},
pages = {1141--1168},
title = {Geometrically convergent simulation of the extrema of {L}\'{e}vy processes},
url = {https://doi.org/10.1287/moor.2021.1163},
volume = {47},
year = {2022},
bdsk-url-1 = {https://doi.org/10.1287/moor.2021.1163}}
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