Euler schemes and half-space approximation for the simulation of diffusion in a domain

This paper is concerned with the problem of simulation of (Xt )0≤t≤T , the solution of a stochastic differential equation constrained by some boundary conditions in a smooth domain D : namely, we consider the case where the boundary ∂D is killing, or where it is instantaneously reflecting in an oblique direction. Given N discretization times equally spaced on the interval [0,T] , we propose new discretization schemes: they are fully implementable and provide a weak error of order N -1 under some conditions. The construction of these schemes is based on a natural principle of local approximation of the domain into a half space, for which efficient simulations are available.

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