Year: 2012
Type: article
Abstract: Fujiwara’s method can be considered as an extrapolation method of order 6 of the Ninomiya–Victoir weak approximation scheme for the numerical approximation of solution processes of SDEs. We present an extension of Fujiwara’s method for arbitrarily high orders, which embeds the original Fujiwara method as the order 6 case. The approach can be considered as a variant of Richardson extrapolation, which allows one to reach high orders with few extrapolation steps. The most important contribution of our approach is that we only need m extrpolation steps in order to achieve order of approximation 2m, which is half the number of steps in comparison to classical approaches.
DOI: 10.1214/11-aap774
Authors: Kojiro Oshima, Josef Teichmann, Dejan Velušček
Institution: ETH Zurich
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W2069748821