Weak approximation of killed diffusion using Euler schemes.
type: Item
instance of: scholarly article
title: Weak approximation of killed diffusion using Euler schemes.
zbMATH Open document ID: 1045.60082
DOI: 10.1016/S0304-4149(99)00109-X
author: Emmanuel Gobet
published in: Stochastic Processes and their Applications
publication date: 2004-09-07T00:00:00Z
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H35
zbMATH DE Number: 2098075
zbMATH Keywords: weak approximation
zbMATH Keywords: killed diffusion
zbMATH Keywords: Euler scheme
zbMATH Keywords: error expansion
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: Itô's formula
zbMATH Keywords: orthogonal projection
zbMATH Keywords: local time on the boundary
MaRDI profile type: Publication
cites work: Bounds for the fundamental solution of a parabolic equation
cites work: Approximation des trajectoires et temps local des diffusions. (Approximation of trajectories and local times of diffusions)
cites work: Exact asymptotics for the probability of exit from a domain and applications to simulation
cites work: The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
cites work: The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
cites work: Formules de changement de variables
cites work: A continuity correction for discrete barrier options
cites work: Q3970761
cites work: Numerical Approximation for Functionals of Reflecting Diffusion Processes
cites work: Q5520962
cites work: Q4086525
cites work: Elliptic Partial Differential Equations of Second Order
cites work: Schéma d'Euler continu pour des diffusions tuées et options barrière
cites work: Schéma d'Euler discret pour diffusion multidimensionnelle tuée
cites work: Q4039796
cites work: Q3973613
cites work: Q3684932
cites work: Q5562267
cites work: Monte-Carlo methods for the transport and diffusion equations
cites work: Q4695110
cites work: Martingale methods in financial modelling.
cites work: Q4842684
cites work: Q3997782
cites work: Brownian approximations to first passage probabilities
full work available at URL: s0304-4149(99)00109-x
OpenAlex ID: W2163891345
Wikidata QID: Q127352592
description: scientific article; zbMATH DE number 2098075