Ninomiya–Victoir scheme: Strong convergence, antithetic version and application to multilevel estimators
Work
Year: 2016
Type: article
Abstract: In this paper, we are interested in the strong convergence properties of the Ninomiya–Victoir scheme which is known to exhibit weak convergence with order 2. We prove strong convergence with order <m... more
Institutions Institut national de recherche en informatique et en automatique, Université Paris-Est Créteil, Laboratoire d’Analyse et de Mathématiques Appliquées, Centre National de la Recherche Scientifique
Cites: 13
Cited by: 10
Related to: 10
FWCI: 1.311
Citation percentile (by year/subfield): 68.26
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green