Computing exit times with the Euler scheme
dc.contributor.author
Buchmann, Fabian M.
dc.date.accessioned
2022-08-26T09:18:18Z
dc.date.available
2017-06-13T04:10:38Z
dc.date.available
2022-08-26T09:18:18Z
dc.date.issued
2003-03
dc.identifier.uri
http://hdl.handle.net/20.500.11850/147315
dc.identifier.doi
10.3929/ethz-a-004517671
dc.description.abstract
In this note we study standard Euler updates for computing first exit times of general diffusions from a domain. We focus on one dimensional situations and show how the ideas of Mannella and Gobet can be adapted to this problem. In particular, we give a fully implementable algorithm to compute the first exit time from an interval numerically. The Brownian motion case is treaten in detail. Special emphasize is on numerical experiments: For every ansatz, we include numerical experiments confirming the conjectured accuracy of our methods. Our methods appear to be at least of weak order one and give improved results at the same computational cost compared to algorithms used widely in practice.
en_US
dc.format
application/pdf
en_US
dc.language.iso
en
en_US
dc.publisher
Seminar for Applied Mathematics, ETH Zurich
en_US
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.title
Computing exit times with the Euler scheme
en_US
dc.type
Report
dc.rights.license
In Copyright - Non-Commercial Use Permitted
ethz.journal.title
SAM Research Report
ethz.journal.volume
2003-02
en_US
ethz.size
18 p.
en_US
ethz.code.ddc
DDC - DDC::5 - Science::510 - Mathematics
en_US
ethz.publication.place
Zurich
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02501 - Seminar für Angewandte Mathematik / Seminar for Applied Mathematics
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02501 - Seminar für Angewandte Mathematik / Seminar for Applied Mathematics
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02501 - Seminar für Angewandte Mathematik / Seminar for Applied Mathematics
ethz.identifier.url
https://math.ethz.ch/sam/research/reports.html?id=314
ethz.date.deposited
2017-06-13T04:12:26Z
ethz.source
ECOL
ethz.identifier.importid
imp59366a6a6c9ea44263
ethz.ecolpid
eth:26320
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2017-07-13T14:57:56Z
ethz.rosetta.lastUpdated
2023-02-07T05:45:55Z
ethz.rosetta.versionExported
true
ethz.COinS
ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.atitle=Computing%20exit%20times%20with%20the%20Euler%20scheme&rft.jtitle=SAM%20Research%20Report&rft.date=2003-03&rft.volume=2003-02&rft.au=Buchmann,%20Fabian%20M.&rft.genre=report&
Files in this item
Publication type
-
Report [6958]