Approximation of First Exit Times of Diffusions and Approximate Solution of Parabolic Equations

DOI10.1002/MANA.19831110105MaRDI QIDQ3308803zbMATH OpenOpenAlexFDO

Authors Eckhard Platen

Publication date 1983

Published in Mathematische Nachrichten (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/mana.19831110105

zbMATH Keywords

first exit timefirst exit times of time discrete diffusionspeed of convergence

Mathematics Subject Classification ID

Heat equation (35K05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Monte Carlo methods (65C05)

Cited in

(1)

• Wong-Zakai approximations for stochastic differential equations

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