- Journal Home
- Volume 36 - 2024
- Volume 35 - 2024
- Volume 34 - 2023
- Volume 33 - 2023
- Volume 32 - 2022
- Volume 31 - 2022
- Volume 30 - 2021
- Volume 29 - 2021
- Volume 28 - 2020
- Volume 27 - 2020
- Volume 26 - 2019
- Volume 25 - 2019
- Volume 24 - 2018
- Volume 23 - 2018
- Volume 22 - 2017
- Volume 21 - 2017
- Volume 20 - 2016
- Volume 19 - 2016
- Volume 18 - 2015
- Volume 17 - 2015
- Volume 16 - 2014
- Volume 15 - 2014
- Volume 14 - 2013
- Volume 13 - 2013
- Volume 12 - 2012
- Volume 11 - 2012
- Volume 10 - 2011
- Volume 9 - 2011
- Volume 8 - 2010
- Volume 7 - 2010
- Volume 6 - 2009
- Volume 5 - 2009
- Volume 4 - 2008
- Volume 3 - 2008
- Volume 2 - 2007
- Volume 1 - 2006
Commun. Comput. Phys., 20 (2016), pp. 703-732.
Published online: 2018-04
Cited by
- BibTex
- RIS
- TXT
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}$$(√h)$. We address specific implementation issues of the most general-purpose of such schemes. They have been coded into a single Matlab program and compared, according to their accuracy and computational cost, on a wide range of problems in up to R48. The paper is self-contained and the code will be made freely downloadable.
}, issn = {1991-7120}, doi = {https://doi.org/10.4208/cicp.OA-2015-0016}, url = {http://global-sci.org/intro/article_detail/cicp/11170.html} }We review, implement, and compare numerical integration schemes for spatially bounded diffusions stopped at the boundary which possess a convergence rate of the discretization error with respect to the time step $h$ higher than $\mathcal{O}$$(√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.