@Article{CiCP-20-3,
author = {Francisco, Bernal and Juan, Acebrón, A.},
title = {A Comparison of Higher-Order Weak Numerical Schemes for Stopped Stochastic Differential Equations},
journal = {Communications in Computational Physics},
year = {2016},
volume = {20},
number = {3},
pages = {703--732},
abstract = {<p style="text-align: justify;">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 R<sup>48</sup>. The paper is
self-contained and the code will be made freely downloadable.</p>},
issn = {1991-7120},
doi = {https://doi.org/10.4208/cicp.OA-2015-0016},
url = {https://global-sci.com/article/80215/a-comparison-of-higher-order-weak-numerical-schemes-for-stopped-stochastic-differential-equations}
}