4.2 Article

A symmetrized Euler scheme for an efficient approximation of reflected diffusions

Journal

JOURNAL OF APPLIED PROBABILITY
Volume 41, Issue 3, Pages 877-889

Publisher

CAMBRIDGE UNIV PRESS
DOI: 10.1239/jap/1091543431

Keywords

reflected diffusion; discretization scheme; weak approxi boundary condition for parabolic PDe

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In this article, we analyse the error induced by the Euler scheme combined with a symmetry procedure near the boundary for the simulation of diffusion processes with an oblique reflection on a smooth boundary. This procedure is easy to implement and, in addition, accurate: indeed, we prove that it yields a weak rate of convergence of order I with respect to the time-discretization step.

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