A new extrapolation method for weak approximation schemes with applications
Probability
2009-11-24 v1 Numerical Analysis
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.
Cite
@article{arxiv.0911.4380,
title = {A new extrapolation method for weak approximation schemes with applications},
author = {Kojiro Oshima and Josef Teichmann and Dejan Veluscek},
journal= {arXiv preprint arXiv:0911.4380},
year = {2009}
}