A Comparison of Higher-Order Weak Numerical Schemes for Stopped Stochastic Differential Equations
DOI10.4208/cicp.OA-2015-0016zbMath1388.65013arXiv1511.07195OpenAlexW3103884795MaRDI QIDQ5372554
Francisco Bernal, Juan A. Acebrón
Publication date: 27 October 2017
Published in: Communications in Computational Physics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1511.07195
Computational methods for problems pertaining to probability theory (60-08) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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