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|Title:||A comparison of higher-order weak numerical schemes for stopped stochastic differential equations|
Acebrón, J. A.
Stochastic differential equation
|Publisher:||Global Science Press|
|Abstract:||We review, implement, and compare numerical integration schemes for spatially bounded diffusions stopped at the boundary which possess a convergence rate of the discretization error with respect to the timestep h higher than O(root h). We address specific implementation issues of the most general-purpose of such schemes. They have been coded into a single Matlab program and compared, according to their accuracy and computational cost, on a wide range of problems in up to R-48. The paper is self-contained and the code will be made freely downloadable.|
|Appears in Collections:||CTI-RI - Artigos em revistas científicas internacionais com arbitragem científica|
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