Euler schemes and half-space approximation for the simulation of diffusion in a domain
By Emmanuel Gobet. 2001
107 citations recorded by the source corpus.
Subfields: Computational Theory and Mathematics, Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/4c90c15e8a6ab514138217d5bb0f37e78175bdfc
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Computational Theory and Mathematics
In Finance
- Mireille Bossy
- Denis Talay
- Emmanuel Gobet
- Michael SØrensen
- D. Crisan
- K. Manolarakis
- Huyen Pham
- Jean-François Chassagneux
In Statistics and Probability
- Mireille Bossy
- Denis Talay
- Emmanuel Gobet
- Michael SØrensen
- D. Crisan
- K. Manolarakis
- J. Forman
- Arnaud Gloter
Citations in the corpus
- General criteria for the study of quasi-stationarity (2017, unknown): “For a detailed presentation and study of this kind of modified Euler schemes, we refer the reader to [65, 40, 41, 7].”
- A symmetrized Euler scheme for an efficient approximation of reflected diffusions (2004, methodology): “We recall some classical results concerning the distance to the boundary in the γ direction (see the appendix in [ 10 ]).”