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

Abstract

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 $\mathcal{O}(\sqrt{h})$. 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 ${\mathbb{R}}^{48}$. The paper is self-contained and the code will be made freely downloadable.

Under review. Matlab code will be made available soon

References in corpus (2)

• Phase Description of Stochastic Oscillations
• Weak convergence of marked point processes generated by crossings of multivariate jump processes. Applications to neural network modeling

Cited by in corpus (2)

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