Please use this identifier to cite or link to this item:
http://hdl.handle.net/10071/13164
Author(s): | Bernal, F. Acebrón, J. A. |
Date: | 2016 |
Title: | A comparison of higher-order weak numerical schemes for stopped stochastic differential equations |
Volume: | 20 |
Number: | 3 |
Pages: | 703 - 732 |
ISSN: | 1815-2406 |
DOI (Digital Object Identifier): | 10.4208/cicp.OA-2015-0016 |
Keywords: | Weak convergence Feynman-Kac Stochastic differential equation Bounded diffusion First-exit problem |
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. |
Peerreviewed: | yes |
Access type: | Open Access |
Appears in Collections: | CTI-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Files in This Item:
File | Description | Size | Format | |
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A comparison of higher-order weak.pdf | Pré-print | 638,85 kB | Adobe PDF | View/Open |
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