A new extrapolation method for weak approximation schemes with applications

DOI10.1214/11-AAP774zbMATH Open1349.65035arXiv0911.4380MaRDI QIDQ433903FDOQ433903

Authors: Kojiro Oshima, Josef Teichmann, Dejan Velušček 

Publication date: 8 July 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: We review Fujiwara's scheme, a sixth order weak approximation scheme for the numerical approximation of SDEs, and embed it into a general method to construct weak approximation schemes of order $2m$ for $minmathbfN$. Those schemes cannot be seen as cubature schemes, but rather as universal ways how to extrapolate from a lower order weak approximation scheme, namely the Ninomiya-Victoir scheme, for higher orders.

Full work available at URL: https://arxiv.org/abs/0911.4380

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zbMATH Keywords

extrapolationRichardson extrapolationhigh order methodscubature methodsfujiwara extrapolation methodninomiya-victoir schemeweak approximation schemes

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (10)

• On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter
• Construction of a third-order K-scheme and its application to financial models
• Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing
• Optimal simulation schemes for Lévy driven stochastic differential equations
• Monte Carlo construction of cubature on Wiener space
• Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators
• A generic construction for high order approximation schemes of semigroups using random grids
• Efficient simulation methods for the quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme
• Improved local approximation for multidimensional diffusions: The G-rates
• Ninomiya-Victoir scheme : Multilevel Monte Carlo estimators and discretization of the involved Ordinary Differential Equations

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