Exportar Publicação

A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA) 
Bernal, F. & Acebrón, J. A. (2016). A comparison of higher-order weak numerical schemes for stopped stochastic differential equations. Communications in Computational Physics. 20 (3), 703-732
Exportar Referência (IEEE) 
F. Bernal and J. A. Torres,  "A comparison of higher-order weak numerical schemes for stopped stochastic differential equations", in Communications in Computational Physics, vol. 20, no. 3, pp. 703-732, 2016
Exportar BibTeX 
@article{bernal2016_1714977323541,
	author = "Bernal, F. and Acebrón, J. 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",
	doi = "10.4208/cicp.OA-2015-0016",
	pages = "703-732",
	url = "https://www.cambridge.org/core/journals/communications-in-computational-physics/article/a-comparison-of-higher-order-weak-numerical-schemes-for-stopped-stochastic-differential-equations/7A6AF2389FE62C7B41210EEF0765DF5E"
}
Exportar RIS 
TY  - JOUR
TI  - A comparison of higher-order weak numerical schemes for stopped stochastic differential equations
T2  - Communications in Computational Physics
VL  - 20
IS  - 3
AU  - Bernal, F.
AU  - Acebrón, J. A.
PY  - 2016
SP  - 703-732
SN  - 1815-2406
DO  - 10.4208/cicp.OA-2015-0016
UR  - https://www.cambridge.org/core/journals/communications-in-computational-physics/article/a-comparison-of-higher-order-weak-numerical-schemes-for-stopped-stochastic-differential-equations/7A6AF2389FE62C7B41210EEF0765DF5E
AB  - 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 timestep h higher than O(root 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-48. The paper is self-contained and the code will be made freely downloadable.
ER  -