A new extrapolation method for weak approximation schemes with applications
From MaRDI portal
Publication:433903
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 for . 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.
Recommendations
- Extrapolation Methods for the Weak Approximation of Ito Diffusions
- Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps
- scientific article; zbMATH DE number 1494224
- Publication:4865433
- A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
Cites work
- scientific article; zbMATH DE number 43057 (Why is no real title available?)
- scientific article; zbMATH DE number 562731 (Why is no real title available?)
- scientific article; zbMATH DE number 1998237 (Why is no real title available?)
- scientific article; zbMATH DE number 2006091 (Why is no real title available?)
- scientific article; zbMATH DE number 1561756 (Why is no real title available?)
- scientific article; zbMATH DE number 1754702 (Why is no real title available?)
- scientific article; zbMATH DE number 3999169 (Why is no real title available?)
- scientific article; zbMATH DE number 798609 (Why is no real title available?)
- A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
- An Accelerated Splitting-up Method for Parabolic Equations
- Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus
- Cubature on Wiener space
- Expansion of solutions of parameterized equations and acceleration of numerical methods
- Expansion of the global error for numerical schemes solving stochastic differential equations
- On the splitting-up method and stochastic partial differential equations
- Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
- Weak approximations. A Malliavin calculus approach
Cited in
(10)- Improved local approximation for multidimensional diffusions: The G-rates
- Monte Carlo construction of cubature on Wiener space
- Construction of a third-order K-scheme and its application to financial models
- Optimal simulation schemes for Lévy driven stochastic differential equations
- On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter
- Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing
- Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators
- Ninomiya-Victoir scheme : Multilevel Monte Carlo estimators and discretization of the involved Ordinary Differential Equations
- Efficient simulation methods for the quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme
- A generic construction for high order approximation schemes of semigroups using random grids
This page was built for publication: A new extrapolation method for weak approximation schemes with applications
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q433903)
