124 citations · 296 across the 15 of their papers we have counts for
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math.PR2017★ 3 cited
On the Euler discretization error of Brownian motion about random times
A. B. Dieker, Guido Lagos
In this paper we derive weak limits for the discretization errors of sampling barrier-hitting and extreme events of Brownian motion by using the Euler discretization simulation met…
math.PR2017
A Dichotomy for Sampling Barrier-Crossing Events of Random Walks with Regularly Varying Tails
Ton Dieker, Guido Lagos
We study how to sample paths of a random walk up to the first time it crosses a fixed barrier, in the setting where the step sizes are iid with negative mean and have a regularly v…