Momte Carlo Simulation of killed diffusion

DOI10.1515/MCMA.2000.6.4.263zbMath0981.65009OpenAlexW2004251618WikidataQ59225759 ScholiaQ59225759MaRDI QIDQ2708282

Erika Hausenblas

Publication date: 17 April 2001

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2000.6.4.263

zbMATH Keywords

convergencestochastic differential equationsMonte Carlo simulationfirst exit timekilled diffusionEuler and Milstein scheme

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30)

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