A comparison of higher-order weak numerical schemes for stopped stochastic differential equations

Detalhes bibliográficos
Autor(a) principal: Bernal, F.
Data de Publicação: 2016
Outros Autores: Acebrón, J. A.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10071/13164
Resumo: 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.
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spelling A comparison of higher-order weak numerical schemes for stopped stochastic differential equationsWeak convergenceFeynman-KacStochastic differential equationBounded diffusionFirst-exit problemWe 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.Global Science Press2017-05-02T10:49:52Z2016-01-01T00:00:00Z20162019-04-16T11:46:35Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10071/13164eng1815-240610.4208/cicp.OA-2015-0016Bernal, F.Acebrón, J. A.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-25T17:38:41ZPortal AgregadorONG
dc.title.none.fl_str_mv A comparison of higher-order weak numerical schemes for stopped stochastic differential equations
title A comparison of higher-order weak numerical schemes for stopped stochastic differential equations
spellingShingle A comparison of higher-order weak numerical schemes for stopped stochastic differential equations
Bernal, F.
Weak convergence
Feynman-Kac
Stochastic differential equation
Bounded diffusion
First-exit problem
title_short A comparison of higher-order weak numerical schemes for stopped stochastic differential equations
title_full A comparison of higher-order weak numerical schemes for stopped stochastic differential equations
title_fullStr A comparison of higher-order weak numerical schemes for stopped stochastic differential equations
title_full_unstemmed A comparison of higher-order weak numerical schemes for stopped stochastic differential equations
title_sort A comparison of higher-order weak numerical schemes for stopped stochastic differential equations
author Bernal, F.
author_facet Bernal, F.
Acebrón, J. A.
author_role author
author2 Acebrón, J. A.
author2_role author
dc.contributor.author.fl_str_mv Bernal, F.
Acebrón, J. A.
dc.subject.por.fl_str_mv Weak convergence
Feynman-Kac
Stochastic differential equation
Bounded diffusion
First-exit problem
topic Weak convergence
Feynman-Kac
Stochastic differential equation
Bounded diffusion
First-exit problem
description 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.
publishDate 2016
dc.date.none.fl_str_mv 2016-01-01T00:00:00Z
2016
2017-05-02T10:49:52Z
2019-04-16T11:46:35Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10071/13164
url http://hdl.handle.net/10071/13164
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1815-2406
10.4208/cicp.OA-2015-0016
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Global Science Press
publisher.none.fl_str_mv Global Science Press
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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repository.mail.fl_str_mv
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