Euler schemes and half–space approximation for the simulation of diffusion in a domain

ESAIM - Probability and Statistics

Volumn 5, Issue , 2001, Pages 261-297

  Gobet, Emmanuel ^a  

^a CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

Author keywords

Boundary value problems for parabolic PDE; Discretization schemes; Killed diffusion; Rates of convergence; Reflected diffusion; Weak approximation

Indexed keywords

EID: 84996131097     PISSN: 12928100     EISSN: 12623318     Source Type: Journal    
DOI: 10.1051/ps:2001112     Document Type: Article

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