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

  • Francisco Bernal (a1) (a2) and Juan A. Acebrón (a1) (a3)

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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Corresponding author

*Corresponding author. Email addresses: francisco.bernal@ist.utl.pt (F. Bernal), juan.acebron@ist.utl.pt (J. A. Acebrón)

References

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