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

DOI10.4208/cicp.OA-2015-0016zbMath1388.65013arXiv1511.07195OpenAlexW3103884795MaRDI QIDQ5372554

Francisco Bernal, Juan A. Acebrón

Publication date: 27 October 2017

Published in: Communications in Computational Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.07195

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

• Matlab

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