Stopped diffusion processes: Boundary corrections and overshoot
نویسندگان
چکیده
منابع مشابه
Stopped diffusion processes: boundary corrections and overshoot
For a stopped diffusion process in a multidimensional time-dependent domain D, we propose and analyse a new procedure consisting in simulating the process with an Euler scheme with step size ∆ and stopping it at discrete times (i∆)i∈N∗ in a modified domain, whose boundary has been appropriately shifted. The shift is locally in the direction of the inward normal n(t, x) at any point (t, x) on th...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2010
ISSN: 0304-4149
DOI: 10.1016/j.spa.2009.09.014