Publication:
A Comparison of Higher-Order Weak Numerical Schemes for Stopped Stochastic Differential Equations

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2016-09
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Cambridge University Press
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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 . 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 ℝ48. The paper is self-contained and the code will be made freely downloadable.
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Weak convergence, Feynman-Kac, Stochastic differential equation, Bounded difusión, First-exit problem
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Bernal, F. & Acebrón, J. A. (2016). A Comparison of Higher-Order Weak Numerical Schemes for Stopped Stochastic Differential Equations. Communications in Computational Physics, 20(3), pp. 703–732.