High order splitting schemes with complex timesteps and their application in mathematical finance

Philipp Doersek, Eskil Hansen

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Sammanfattning

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.
Originalspråkengelska
Sidor (från-till)234-243
TidskriftJournal of Computational and Applied Mathematics
Volym262
DOI
StatusPublished - 2014

Bibliografisk information

The information about affiliations in this record was updated in December 2015.
The record was previously connected to the following departments: Numerical Analysis (011015004)

Ämnesklassifikation (UKÄ)

  • Matematik

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