A new extrapolation method for weak approximation schemes with applications (Q433903): Difference between revisions

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+On the splitting-up method and stochastic partial differential equations
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+An Accelerated Splitting-up Method for Parabolic Equations
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+Expansion of solutions of parameterized equations and acceleration of numerical methods
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+Weak approximations. A Malliavin calculus approach
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+Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus
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+A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
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+Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
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+Expansion of the global error for numerical schemes solving stochastic differential equations
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