Office of Scientific and International Cooperation

Speeding up the Euler Schemefoe Killed Diffusions

Abstract: Let X be a linear diffusion taking values in (l,r) and consider the standard Euler scheme to compute an approximation to E[g(X(T);T recently. Although the current setup assumes a one-dimensional setting, multidimensional extension is within reach as soon as a systematic treatment of recurrent transformations is available in higher dimensions.