Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme

DOI10.1016/j.spa.2004.03.002zbMath1070.60071OpenAlexW2066658881MaRDI QIDQ2485773

Emmanuel Gobet, Stéphane Menozzi

Publication date: 5 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.spa.2004.03.002

zbMATH Keywords

Weak approximationDiscrete exit timeKilled processesOvershoot above the boundary

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Computational methods for problems pertaining to probability theory (60-08) Diffusion processes (60J60)

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