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

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math.NA2015★ 13 cited

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

Francisco Bernal, Juan A. Acebrón

We review, implement, and compare numerical integration schemes for spatially bounded diffusions stopped at the boundary which possess a convergence rate of the discretization erro…