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

Bernal Martínez, Francisco Manuel; Acebrón, Juan Antonio

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

Author(s): Bernal Martínez, Francisco Manuel; Acebrón, Juan Antonio

Publisher: Cambridge University Press

Issued date: 2016-09

Citation: 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.

ISSN: 1815-2406

DOI: https://doi.org/10.4208/cicp.OA-2015-0016

Sponsor: This work was supported by Portuguese national funds through FCT under grants UID/CEC/50021/2013 and PTDC/EIA-CCO/098910/2008. FB also acknowledges FCT funding under grant SFRH/BPD/79986/2011.

Keywords: Weak convergence , Feynman-Kac , Stochastic differential equation , Bounded difusión , First-exit problem

URI: http://hdl.handle.net/10016/33358

Rights: © Global-Science Press 2016

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 implementatio [+]

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