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

作者：Bernal Francisco; Acebron Juan A^*

来源：Communications in Computational Physics, 2016, 20(3): 703-732.

DOI：10.4208/cicp.OA-2015-0016

• Weak convergence
• Feynman-Kac
• stochastic differential equation
• bounded diffusion
• first-exit problem

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 O(root 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 R-48. The paper is self-contained and the code will be made freely downloadable.

• 出版日期2016-9