Euler schemes and half-space approximation for the simulation of diffusion in a domain
Emmanuel Gobet (2010)
ESAIM: Probability and Statistics
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This paper is concerned with the problem of simulation of , the solution of a stochastic differential equation constrained by some boundary conditions in a smooth domain : namely, we consider the case where the boundary is killing, or where it is instantaneously reflecting in an oblique direction. Given discretization times equally spaced on the interval , we propose new discretization schemes: they are fully implementable and provide a weak error of order under some...