TY - JOUR T1 - A Comparison of Higher-Order Weak Numerical Schemes for Stopped Stochastic Differential Equations AU - Bernal , Francisco AU - A. Acebrón , Juan JO - Communications in Computational Physics VL - 3 SP - 703 EP - 732 PY - 2018 DA - 2018/04 SN - 20 DO - http://doi.org/10.4208/cicp.OA-2015-0016 UR - https://global-sci.org/intro/article_detail/cicp/11170.html KW - AB -

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.