Simulation of stopped diffusions

DOI10.1016/j.jcp.2004.07.009zbMath1063.65008OpenAlexW2010897718MaRDI QIDQ703771

F. M. Buchmann

Publication date: 11 January 2005

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2004.07.009

zbMATH Keywords

AlgorithmBrownian motionDirichlet problemsNumerical experimentsMonte-Carlo simulationsStochastic differential equationsComparison of methodsStopped diffusionsWeak approximation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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