Approximation of First Exit Times of Diffusions and Approximate Solution of Parabolic Equations
Eckhard Platen · Mathematische Nachrichten · 1983
Abstract In the paper the first exit time of a diffusion from a bounded region is approximated by first exit times of time discrete diffusion approximations. Their speed of convergence is estimated with respect to the maximum step size. Finally, this result is applied for the construction of approximate solutions of degenerate parabolic equations which can be used in Monte‐Carlo simulation algorithms.