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

DOI10.1007/978-3-642-27440-4_4zbMath1274.60245OpenAlexW252545625MaRDI QIDQ5326101

Emmanuel Gobet

Publication date: 31 July 2013

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-27440-4_4

zbMATH Keywords

boundary perturbationsimulation schemesstopped diffusionexit from a domainscalar Brownian motiondiscrete killing

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60) Boundary theory for Markov processes (60J50)

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