Monte Carlo simulation of killed diffusion (Q2708282)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Monte Carlo simulation of killed diffusion |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Monte Carlo simulation of killed diffusion |
scientific article |
Statements
17 April 2001
0 references
Monte Carlo simulation
0 references
killed diffusion
0 references
stochastic differential equations
0 references
first exit time
0 references
convergence
0 references
Euler and Milstein scheme
0 references
Monte Carlo simulation of killed diffusion (English)
0 references
The author studies the problem to approximate numerically, by a discrete time approximation, the first exit time of a diffusion from a convex region with smooth boundary. The order of convergence for the Euler and Milstein scheme is analyzed.
0 references
