Abstract
High order splitting schemes with complex timesteps are applied to Kolmogorov backward equations stemming from stochastic differential equations in the Stratonovich form. in the setting of weighted spaces, the necessary analyticity of the split semigroups can easily be proved. A numerical example from interest rate theory, the CIR2 model, is considered. The numerical results are robust for drift-dominated problems and confirm our theoretical results. (C) 2013 Elsevier B.V. All rights reserved.
| Original language | English |
|---|---|
| Pages (from-to) | 234-243 |
| Journal | Journal of Computational and Applied Mathematics |
| Volume | 262 |
| DOIs | |
| Publication status | Published - 2014 |
Bibliographical note
The information about affiliations in this record was updated in December 2015.The record was previously connected to the following departments: Numerical Analysis (011015004)
Subject classification (UKÄ)
- Mathematics
Free keywords
- Splitting methods
- Complex coefficients
- Mathematical finance
- Convection-dominated problems
- Interest rate theory