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scientific article; zbMATH DE number 1494224
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scientific article; zbMATH DE number 1494224 |
Statements
22 August 2000
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weak approximation of stochastic differential equations
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extrapolation
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0.8358933329582214
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0.7956991195678711
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0.7847246527671814
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0.7614316344261169
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0.7582927346229553
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Let \(X^h\) be a first-order weak approximation of a multidimensional stochastic differential equation. Let \[ \overline X^h(t_k)= X^h(t_k),\quad \overline X^h(t_{k+ 1})= 2X^{h/2}(t_{k+ 1})- x^h(t_{k+ 1}). \] The approximation \(X^h\) is said to be good for extrapolation if the approximation \(\overline X^h\) defined above is the second-order one. The author obtains sufficient conditions of ``goodness for extrapolation''. This enables to construct relatively simple second-order approximations. For the entire collection see [Zbl 0939.00029].
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