Weak approximation of killed diffusion using Euler schemes.

DOI10.1016/S0304-4149(99)00109-XzbMath1045.60082OpenAlexW2163891345WikidataQ127352592 ScholiaQ127352592MaRDI QIDQ1877395

Emmanuel Gobet

Publication date: 7 September 2004

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(99)00109-x

zbMATH Keywords

Malliavin calculus weak approximation orthogonal projection Euler scheme Itô's formula error expansion killed diffusion local time on the boundary

Mathematics Subject Classification ID

Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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