Weak approximation of killed diffusion using Euler schemes

Stochastic Processes and their Applications

Volumn 87, Issue 2, 2000, Pages 167-197

  Gobet, Emmanuel ^a  

^a UNIVERSITÉ PARIS DESCARTES   (France)

Author keywords

Error's expansion; Euler scheme; It 's formula; Killed diffusion; Local time on the boundary; Malliavin calculus; Orthogonal projection; Weak approximation

Indexed keywords

EID: 0012074125     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(99)00109-X     Document Type: Article

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