Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10071/13164
Registo completo
Campo DC | Valor | Idioma |
---|---|---|
dc.contributor.author | Bernal, F. | - |
dc.contributor.author | Acebrón, J. A. | - |
dc.date.accessioned | 2017-05-02T10:49:52Z | - |
dc.date.available | 2017-05-02T10:49:52Z | - |
dc.date.issued | 2016 | - |
dc.identifier.issn | 1815-2406 | - |
dc.identifier.uri | http://hdl.handle.net/10071/13164 | - |
dc.description.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. | eng |
dc.language.iso | eng | - |
dc.publisher | Global Science Press | - |
dc.relation | info:eu-repo/grantAgreement/FCT/5876/147282/PT | - |
dc.relation | info:eu-repo/grantAgreement/FCT/SFRH/SFRH%2FBPD%2F79986%2F2011/PT | - |
dc.relation | info:eu-repo/grantAgreement/FCT/3599-PPCDT/98910/PT | - |
dc.rights | openAccess | por |
dc.subject | Weak convergence | eng |
dc.subject | Feynman-Kac | eng |
dc.subject | Stochastic differential equation | eng |
dc.subject | Bounded diffusion | eng |
dc.subject | First-exit problem | eng |
dc.title | A comparison of higher-order weak numerical schemes for stopped stochastic differential equations | eng |
dc.type | article | - |
dc.pagination | 703 - 732 | - |
dc.publicationstatus | Publicado | por |
dc.peerreviewed | yes | - |
dc.journal | Communications in Computational Physics | - |
dc.distribution | Internacional | por |
dc.volume | 20 | - |
dc.number | 3 | - |
degois.publication.firstPage | 703 | - |
degois.publication.lastPage | 732 | - |
degois.publication.issue | 3 | - |
degois.publication.title | A comparison of higher-order weak numerical schemes for stopped stochastic differential equations | eng |
dc.date.updated | 2019-04-16T11:46:35Z | - |
dc.description.version | info:eu-repo/semantics/submittedVersion | - |
dc.identifier.doi | 10.4208/cicp.OA-2015-0016 | - |
dc.subject.fos | Domínio/Área Científica::Ciências Naturais::Matemáticas | por |
iscte.identifier.ciencia | https://ciencia.iscte-iul.pt/id/ci-pub-29677 | - |
iscte.alternateIdentifiers.wos | WOS:000383911800007 | - |
iscte.alternateIdentifiers.scopus | 2-s2.0-84985918297 | - |
Aparece nas coleções: | CTI-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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A comparison of higher-order weak.pdf | Pré-print | 638,85 kB | Adobe PDF | Ver/Abrir |
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