Speeding up the Euler scheme for killed diffusions (Q6565558)
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scientific article; zbMATH DE number 7874607
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Speeding up the Euler scheme for killed diffusions |
scientific article; zbMATH DE number 7874607 |
Statements
Speeding up the Euler scheme for killed diffusions (English)
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2 July 2024
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diffusions with killing
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Euler-Maruyama scheme
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drift-implicit scheme
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weak convergence
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recurrent transformations
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strict local martingales
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Kato classes
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barrier options
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0.8656177520751953
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0.8565849661827087
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0.8063783049583435
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0.7759987711906433
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0.7497310638427734
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