Monte Carlo simulation of killed diffusion (Q2708282)
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scientific article; zbMATH DE number 1588141
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Monte Carlo simulation of killed diffusion |
scientific article; zbMATH DE number 1588141 |
Statements
17 April 2001
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Monte Carlo simulation
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killed diffusion
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stochastic differential equations
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first exit time
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convergence
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Euler and Milstein scheme
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Monte Carlo simulation of killed diffusion (English)
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The author studies the problem to approximate numerically, by a discrete time approximation, the first exit time of a diffusion from a convex region with smooth boundary. The order of convergence for the Euler and Milstein scheme is analyzed.
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0.8002458214759827
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0.7943232655525208
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0.781893789768219
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0.7792807817459106
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0.7750135660171509
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