Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme

DOI10.1016/J.SPA.2004.03.002zbMATH Open1070.60071OpenAlexW2066658881MaRDI QIDQ2485773FDOQ2485773

Authors: Emmanuel Gobet, Stéphane Menozzi 

Publication date: 5 August 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2004.03.002

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zbMATH Keywords

Weak approximationDiscrete exit timeKilled processesOvershoot above the boundary

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Computational methods in Markov chains (60J22) Diffusion processes (60J60)

Cites Work

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Cited In (23)

• Asymptotic equivalence between boundary perturbations and discrete exit times: application to simulation schemes
• An efficient algorithm for accelerating Monte Carlo approximations of the solution to boundary value problems
• Speeding up the Euler scheme for killed diffusions
• Diffusion transformations, Black-Scholes equation and optimal stopping
• A mathematical framework for exact milestoning
• Metropolis integration schemes for self-adjoint diffusions
• A Feynman-Kac based numerical method for the exit time probability of a class of transport problems
• Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
• Continuous-time random walks for the numerical solution of stochastic differential equations
• Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity
• Strong approximations of BSDEs in a domain
• Stopped diffusion processes: boundary corrections and overshoot
• Weak approximation of killed diffusion using Euler schemes.
• Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme
• Large deviation approaches for the numerical computation of the hitting probability for Gaussian processes
• Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations
• Multilevel Monte Carlo approximation of distribution functions and densities
• A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries
• Approximation for non-smooth functionals of stochastic differential equations with irregular drift
• Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures
• Integration by parts formula for killed processes: a point of view from approximation theory
• Continuously monitored barrier options under Markov processes
• Computing the principal eigenvalue of the Laplace operator by a stochastic method

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