Asymptotic Equivalence Between Boundary Perturbations and Discrete Exit Times: Application to Simulation Schemes (Q5326101): Difference between revisions

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scientific article; zbMATH DE number 6193357

Language	Label	Description	Also known as
English	Asymptotic Equivalence Between Boundary Perturbations and Discrete Exit Times: Application to Simulation Schemes	scientific article; zbMATH DE number 6193357

Statements

instance of

scholarly article

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title

Asymptotic Equivalence Between Boundary Perturbations and Discrete Exit Times: Application to Simulation Schemes (English)

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zbMATH Open document ID

1274.60245

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DOI

10.1007/978-3-642-27440-4_4

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author

Emmanuel Gobet

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published in

Springer Proceedings in Mathematics & Statistics

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publication date

31 July 2013

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Mathematics Subject Classification ID

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exit from a domain

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boundary perturbation

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stopped diffusion

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scalar Brownian motion

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discrete killing

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simulation schemes

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/978-3-642-27440-4_4

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OpenAlex ID

W252545625

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cites work

Shape optimization by the homogenization method

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Exact asymptotics for the probability of exit from a domain and applications to simulation

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Asymptotics of hitting probabilities for general one-dimensional pinned diffusions

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The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function

0 references

Credit risk: Modelling, valuation and hedging

0 references

A Continuity Correction for Discrete Barrier Options

0 references

Connecting discrete and continuous path-dependent options

0 references

Exact Monte Carlo simulation of killed diffusions

0 references

Hypoellipticité et hypoellipticité partielle pour les diffusions avec une condition frontière (Hypoellipticity and partial hypoellipticity for diffusions with a boundary condition)

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Ladder heights, Gaussian random walks and the Riemann zeta function

0 references

Boundary sensitivities for diffusion processes in time dependent domains

0 references

Continuity Correction for Barrier Options in Jump-Diffusion Models

0 references

Weak approximation of killed diffusion using Euler schemes.

0 references

Euler schemes and half-space approximation for the simulation of diffusion in a domain

0 references

Advanced Monte Carlo Methods for Barrier and Related Exotic Options

0 references

Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme

0 references

Discrete Sampling of Functionals of Ito Processes

0 references

Stopped diffusion processes: boundary corrections and overshoot

0 references

Multidimensional Exponential Timestepping with Boundary Test

0 references

Corrected random walk approximations to free boundary problems in optimal stopping

0 references

Q4354424

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The Malliavin Calculus and Related Topics

0 references

Smooth first-passage densities for one-dimensional diffusions

0 references

Corrected diffusion approximations in certain random walk problems

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Sequential analysis. Tests and confidence intervals

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5326101

@@ Property / full work available at URL @@
+https://doi.org/10.1007/978-3-642-27440-4_4
+Normal rank
@@ Property / OpenAlex ID @@
+W252545625
@@ Property / OpenAlex ID: W252545625 / rank @@
+Normal rank
@@ Property / cites work @@
+Shape optimization by the homogenization method
@@ Property / cites work: Shape optimization by the homogenization method / rank @@
+Normal rank
@@ Property / cites work @@
+Exact asymptotics for the probability of exit from a domain and applications to simulation
+Normal rank
@@ Property / cites work @@
+Asymptotics of hitting probabilities for general one-dimensional pinned diffusions
+Normal rank
@@ Property / cites work @@
+The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
+Normal rank
@@ Property / cites work @@
+Credit risk: Modelling, valuation and hedging
@@ Property / cites work: Credit risk: Modelling, valuation and hedging / rank @@
+Normal rank
@@ Property / cites work @@
+A Continuity Correction for Discrete Barrier Options
+Normal rank
@@ Property / cites work @@
+Connecting discrete and continuous path-dependent options
+Normal rank
@@ Property / cites work @@
+Exact Monte Carlo simulation of killed diffusions
@@ Property / cites work: Exact Monte Carlo simulation of killed diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Hypoellipticité et hypoellipticité partielle pour les diffusions avec une condition frontière (Hypoellipticity and partial hypoellipticity for diffusions with a boundary condition)
+Normal rank
@@ Property / cites work @@
+Ladder heights, Gaussian random walks and the Riemann zeta function
+Normal rank
@@ Property / cites work @@
+Boundary sensitivities for diffusion processes in time dependent domains
+Normal rank
@@ Property / cites work @@
+Continuity Correction for Barrier Options in Jump-Diffusion Models
+Normal rank
@@ Property / cites work @@
+Weak approximation of killed diffusion using Euler schemes.
+Normal rank
@@ Property / cites work @@
+Euler schemes and half-space approximation for the simulation of diffusion in a domain
+Normal rank
@@ Property / cites work @@
+Advanced Monte Carlo Methods for Barrier and Related Exotic Options
+Normal rank
@@ Property / cites work @@
+Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme
+Normal rank
@@ Property / cites work @@
+Discrete Sampling of Functionals of Ito Processes
@@ Property / cites work: Discrete Sampling of Functionals of Ito Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Stopped diffusion processes: boundary corrections and overshoot
+Normal rank
@@ Property / cites work @@
+Multidimensional Exponential Timestepping with Boundary Test
+Normal rank
@@ Property / cites work @@
+Corrected random walk approximations to free boundary problems in optimal stopping
+Normal rank
@@ Property / cites work @@
+Q4354424
@@ Property / cites work: Q4354424 / rank @@
+Normal rank
@@ Property / cites work @@
+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
+Normal rank
@@ Property / cites work @@
+Smooth first-passage densities for one-dimensional diffusions
+Normal rank
@@ Property / cites work @@
+Corrected diffusion approximations in certain random walk problems
+Normal rank
@@ Property / cites work @@
+Sequential analysis. Tests and confidence intervals
+Normal rank