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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.

MSC:

60J60 Diffusion processes
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
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