Approximation of First Exit Times of Dif
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Eckhard Platen
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Article
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1983
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John Wiley and Sons
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English
β 728 KB
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 speedof convergence is estimated wit,h respect to the maximum step size. Finally, this result is applied for the construction of approximate solu