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arXiv · 1511.07195

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

Francisco Bernal·Juan A. Acebrón
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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 ${\cal O}(\sqrt{h})$. 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 ${\mathbb R}^{48}$. The paper is self-contained and the code will be made freely downloadable.

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Francisco Bernal, Juan A. Acebrón. 2015-11-23. A Comparison of Higher-Order Weak Numerical Schemes for Stopped Stochastic Differential Equations. https://doi.org/10.4208/cicp.oa-2015-0016

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