Exact asymptotics for the probability of exit from a domain and applications to simulation
From MaRDI portal
Publication:1917196
DOI10.1214/aop/1176987797zbMath0856.60033OpenAlexW2033396652MaRDI QIDQ1917196
Publication date: 27 January 1997
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1176987797
Related Items (23)
Diffusion transformations, Black-Scholes equation and optimal stopping ⋮ Weak approximation of killed diffusion using Euler schemes. ⋮ A Feynman-Kac based numerical method for the exit time probability of a class of transport problems ⋮ Domain decomposition solution of nonlinear two-dimensional parabolic problems by random trees ⋮ Euler schemes and half-space approximation for the simulation of diffusion in a domain ⋮ The snapping out Brownian motion ⋮ Digital barrier options pricing: an improved Monte Carlo algorithm ⋮ Asymptotic Equivalence Between Boundary Perturbations and Discrete Exit Times: Application to Simulation Schemes ⋮ Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias ⋮ Brownian meanders, importance sampling and unbiased simulation of diffusion extremes ⋮ Multiresolution Hilbert approach to multidimensional Gauss-Markov processes ⋮ Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps ⋮ COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS ⋮ Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme ⋮ Simulation of stopped diffusions ⋮ Binomial approximation of Brownian motion and its maximum ⋮ Stopped diffusion processes: boundary corrections and overshoot ⋮ On Sharp Large Deviations for the Bridge of a General Diffusion ⋮ Large deviation approaches for the numerical computation of the hitting probability for Gaussian processes ⋮ The PDD method for solving linear, nonlinear, and fractional PDEs problems ⋮ Large deviations of conditioned diffusions and applications ⋮ An improved technique for the simulation of first passage times for diffusion processes ⋮ Computation of Multivariate Barrier Crossing Probability and its Applications in Credit Risk Models
This page was built for publication: Exact asymptotics for the probability of exit from a domain and applications to simulation
