Year: 2016
Author: Francisco Bernal, Juan A. Acebrón
Communications in Computational Physics, Vol. 20 (2016), Iss. 3 : pp. 703–732
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 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.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/cicp.OA-2015-0016
Communications in Computational Physics, Vol. 20 (2016), Iss. 3 : pp. 703–732
Published online: 2016-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 30