Weak approximation of killed diffusion using Euler schemes

This publication has 17 references indexed in Scilit:

• Numerical Approximation for Functionals of Reflecting Diffusion Processes
  SIAM Journal on Applied Mathematics, 1998
• A Continuity Correction for Discrete Barrier Options
  Mathematical Finance, 1997
• The law of the Euler scheme for stochastic differential equations
  Probability Theory and Related Fields, 1996
• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
  Monte Carlo Methods and Applications, 1996
• Exact Asymptotics for the Probability of Exit from a Domain and Applications to Simulation
  The Annals of Probability, 1995
• Wong-Zakai Corrections, Random Evolutions, and Simulation Schemes for SDE's
  Published by Elsevier ,1991
• Expansion of the global error for numerical schemes solving stochastic differential equations
  Stochastic Analysis and Applications, 1990
• Brownian approximations to first passage probabilities
  Probability Theory and Related Fields, 1982
• Stochastic Differential Games
  Published by Elsevier ,1976
• Bounds for the fundamental solution of a parabolic equation
  Bulletin of the American Mathematical Society, 1967