Speeding up the Euler scheme for killed diffusions

2021/06/28 by Umut Çetın, Çetin, Umut, Julien Hok +1 · 1 citation
Computer Science · Economics, Econometrics and Finance · Mathematics · #Advanced Mathematical Modeling in Engineering #FOS: Mathematics #Mathematical Biology Tumor Growth #Numerical Analysis (math.NA) #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2107.03534

openalex publication_date 2021/06/28 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Let X be a linear diffusion taking values in (ℓ,r) and consider the standard Euler scheme to compute an approximation to 𝔼[g(X_T)1_[T

Citations

• First order strong approximations of scalar SDEs defined in a domain

Cited by

• Fast Computation of Path Integrals of Killed Processes Using Confined Stochastic Bridges

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