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Title: A comparison of higher-order weak numerical schemes for stopped stochastic differential equations
Authors: Bernal, F.
Acebrón, J. A.
Keywords: Weak convergence
Stochastic differential equation
Bounded diffusion
First-exit problem
Issue Date: 2016
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.
Peer reviewed: yes
DOI: 10.4208/cicp.OA-2015-0016
ISSN: 1815-2406
Accession number: WOS:000383911800007
Appears in Collections:CTI-RI - Artigos em revistas científicas internacionais com arbitragem científica

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