A comparison of higher-order weak numerical schemes for stopped stochastic differential equations
Autor(a) principal: | |
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Data de Publicação: | 2016 |
Outros Autores: | |
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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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:RCAAP2023-11-09T17:48:37Zoai:repositorio.iscte-iul.pt:10071/13164Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:23:44.810240Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
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 |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799134799840935936 |