Adaptive Monte Carlo Algorithms for Stopped Diffusion

DOI10.1007/3-540-26444-2_3zbMath1117.65302OpenAlexW113227339MaRDI QIDQ5703077

Raúl Tempone, Anna Dzougoutov, Kyoung-Sook Moon, Anders Szepessy, Erik von Schwerin

Publication date: 8 November 2005

Published in: Lecture Notes in Computational Science and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/3-540-26444-2_3

zbMATH Keywords

Monte Carlo methodweak approximationItô stochastic differential equationbarrier optionNumerical resultsMonte Carlo Euler methodadaptive mesh refinement algorithmdiffusion with boundary

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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