Speeding up the Euler scheme for killed diffusions (Q6565558)
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scientific article; zbMATH DE number 7874607
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Speeding up the Euler scheme for killed diffusions |
scientific article; zbMATH DE number 7874607 |
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Speeding up the Euler scheme for killed diffusions (English)
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2 July 2024
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diffusions with killing
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Euler-Maruyama scheme
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drift-implicit scheme
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weak convergence
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recurrent transformations
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strict local martingales
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Kato classes
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barrier options
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