A symmetrized Euler scheme for an efficient approximation of reflected diffusions
- 1 September 2004
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 41 (3) , 877-889
- https://doi.org/10.1239/jap/1091543431
Abstract
In this article, we analyse the error induced by the Euler scheme combined with a symmetry procedure near the boundary for the simulation of diffusion processes with an oblique reflection on a smooth boundary. This procedure is easy to implement and, in addition, accurate: indeed, we prove that it yields a weak rate of convergence of order 1 with respect to the time-discretization step.Keywords
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