Weak approximation of killed diffusion using Euler schemes
نویسندگان
چکیده
منابع مشابه
Weak approximation of killed di usion using Euler schemes
We study the weak approximation of a multidimensional di usion (Xt)06t6T killed as it leaves an open set D, when the di usion is approximated by its continuous Euler scheme (X̃t)06t6T or by its discrete one (X̃ti )06i6N , with discretization step T=N . If we set := inf{t ¿ 0: Xt 6∈ D} and ̃c := inf{t ¿ 0: X̃t 6∈ D}, we prove that the discretization error Ex[5T¡ ̃c f(X̃T )]−Ex[5T¡ f(XT )] can be expan...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2000
ISSN: 0304-4149
DOI: 10.1016/s0304-4149(99)00109-x