TY - GEN
T1 - Asymptotic Equivalence Between Boundary Perturbations and Discrete Exit Times
T2 - 9th International Conference on Monte Carlo and Quasi Monte Carlo Methods in Scientific Computing, MCQMC 2010
AU - Gobet, E.
PY - 2012/1/1
Y1 - 2012/1/1
N2 - 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.
AB - 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.
U2 - 10.1007/978-3-642-27440-4_4
DO - 10.1007/978-3-642-27440-4_4
M3 - Conference contribution
AN - SCOPUS:84893604774
SN - 9783642274398
T3 - Springer Proceedings in Mathematics and Statistics
SP - 79
EP - 93
BT - Monte Carlo and Quasi-Monte Carlo Methods 2010
PB - Springer New York LLC
Y2 - 15 August 2010 through 20 August 2010
ER -