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  • 1.
    Bayer, Christian
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.).
    Szepessy, Anders
    KTH, School of Computer Science and Communication (CSC), Numerical Analysis, NA.
    Tempone, Raúl
    Adaptive weak approximation of reflected and stopped diffusions2010In: Monte Carlo Methods and Applications, ISSN 1569-3961, Vol. 16, no 1, p. 1-67Article in journal (Refereed)
    Abstract [en]

    We study the weak approximation problem of diusions, which are reflected at a subset of the boundary of a domain and stopped at the remaining boundary. First, we derive an error representation for the projected Euler method of Costantini, Pacchiarotti and Sartoretto [Costantini et al., SIAM J. Appl. Math., 58(1):73–102, 1998], based on which we introduce two new algorithms. The first one uses a correction term from the representation in order to obtain a higher order of convergence, but the computation of the correction term is, in general, not feasible in dimensions d> 1. The second algorithm is adaptive in the sense of Moon, Szepessy, Tempone and Zouraris [Moon et al., Stoch. Anal. Appl., 23:511–558, 2005], using stochastic refinement of the time grid based on a computable error expansion derived from the representation. Regarding the stopped diusion, it is based in the adaptive algorithm for purely stopped di usions presented in Dzougoutov, Moon, von Schwerin, Szepessy and Tempone [Dzougoutov et al., Lect. Notes Comput. Sci. Eng., 44, 59–88, 2005]. We give numerical examples underlining the theoretical results.

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