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Asymptotic Equivalence Between Boundary Perturbations and Discrete Exit Times: Application to Simulation Schemes

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Abstract

We present two problems that are apparently disconnected, and we show how they are actually related to each other. First, we investigate the sensitivity of the expectation of functionals of diffusion process stopped at the exit from a domain, as the boundary is perturbed. Second, we analyze the discrete monitoring bias when simulating stopped diffusions, emphasizing the role of overshoot asymptotics. Then, we derive a simple and accurate scheme for simulating stopped diffusions.

Original languageEnglish
Title of host publicationMonte Carlo and Quasi-Monte Carlo Methods 2010
PublisherSpringer New York LLC
Pages79-93
Number of pages15
ISBN (Print)9783642274398
DOIs
Publication statusPublished - 1 Jan 2012
Event9th International Conference on Monte Carlo and Quasi Monte Carlo Methods in Scientific Computing, MCQMC 2010 - Warsaw, Poland
Duration: 15 Aug 201020 Aug 2010

Publication series

NameSpringer Proceedings in Mathematics and Statistics
Volume23
ISSN (Print)2194-1009
ISSN (Electronic)2194-1017

Conference

Conference9th International Conference on Monte Carlo and Quasi Monte Carlo Methods in Scientific Computing, MCQMC 2010
Country/TerritoryPoland
CityWarsaw
Period15/08/1020/08/10

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