Gauss-Galerkin approximation of diffusion processes with boundary conditions. (English) Zbl 0931.60069
This paper describes a procedure for extending a known approximation method wherein Galerkin approximation is used to obtain appropriate nodes and weights for a Gaussian quadrature approximation of the law of a diffusion process. The extension of the method to a wider class of diffusion processes is achieved by a procedure that enables the use of basis functions other than polynomials in the Galerkin approximation. Some examples where this approach is beneficial are given.
Reviewer: M.D.Lax (Long Beach)
MSC:
60J60 | Diffusion processes |
60H10 | Stochastic ordinary differential equations (aspects of stochastic analysis) |