Simulation of diffusions with boundary conditions
In order to treat diffusion processes with boundary conditions the authors propose a simulation scheme based on a finite difference approximation of the generating differential operator of the diffusion. This approach leads to the simulation of a jump Markov process on a grid in space allowing the incorporation of all possible boundary conditions in a simple manner. The convergence of the approximating Markov processes is in the weak sense. The paper contains the results of simulations in three simple cases.
scientific article; zbMATH DE number 3876347
scientific article