@Article{CiCP-20-703, author = {Bernal , Francisco and A. Acebrón , Juan}, title = {A Comparison of Higher-Order Weak Numerical Schemes for Stopped Stochastic Differential Equations}, journal = {Communications in Computational Physics}, year = {2018}, volume = {20}, number = {3}, pages = {703--732}, 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 time step $h$ higher than $\mathcal{O}$$(√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 R48. The paper is self-contained and the code will be made freely downloadable.

}, issn = {1991-7120}, doi = {https://doi.org/10.4208/cicp.OA-2015-0016}, url = {http://global-sci.org/intro/article_detail/cicp/11170.html} }