Monte Carlo simulation of killed diffusion

DOI10.1515/MCMA.2000.6.4.263MaRDI QIDQ2708282zbMATH OpenOpenAlexWikidataFDO

Authors Erika Hausenblas

Publication date 17 April 2001

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma.2000.6.4.263

zbMATH Keywords

convergenceEuler and Milstein schemefirst exit timekilled diffusionMonte Carlo simulationstochastic differential equations

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

Review text

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.

Recommendations

• Weak approximation of killed diffusion using Euler schemes.
• Simulation of stopped diffusions
• Schéma d'Euler discret pour diffusion multidimensionnelle tuée
• Exact Monte Carlo simulation of killed diffusions
• A Monte Carlo method for the simulation of first passage times of diffusion processes

Cited in

(8)

• Weak approximation of killed diffusion using Euler schemes.
• Quasi-Monte Carlo simulation of diffusion
• Schéma d'Euler discret pour diffusion multidimensionnelle tuée
• Monte Carlo simulations for a kinetic growth model
• On the mean-square approximation of a diffusion process in a bounded domain
• Exact Monte Carlo simulation of killed diffusions
• Speeding up the Euler scheme for killed diffusions
• Simulation of stopped diffusions

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