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Efficient schemes for the weak approximation of reflected diffusions

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  • GOBET† Emmanuel

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  • GOBET† Emmanuel, 2001. "Efficient schemes for the weak approximation of reflected diffusions," Monte Carlo Methods and Applications, De Gruyter, vol. 7(1-2), pages 193-202, December.
    • Handle: RePEc:bpj:mcmeap:v:7:y:2001:i:1-2:p:193-202:n:12
    DOI: 10.1515/mcma.2001.7.1-2.193
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    References listed on IDEAS

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    1. Gobet, Emmanuel, 2000. "Weak approximation of killed diffusion using Euler schemes," Stochastic Processes and their Applications, Elsevier, vol. 87(2), pages 167-197, June.
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