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Keywords: Geometric Brownian motion
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Journal Articles
Journal:
Engineering Computations
Engineering Computations (2019) 36 (7): 2369–2402.
Published: 13 August 2019
... using the two techniques are also mentioned along with the convergence orders. The reader can also find a collection of references to understand the two decompositions with their origins. The geometrical Brownian motion is considered as an example for an important process with exact solution...
