EXTRAPOLATION METHODS FOR THE WEAK APPROXIMATION OF ITO DIFFUSIONS

被引：15

作者：

KLOEDEN, PE

PLATEN, E

HOFMANN, N

机构：

[1] AUSTRALIAN NATL UNIV,INST ADV STUDIES,CANBERRA,ACT 2601,AUSTRALIA

[2] WEIERSTRASS INST APPL ANAL & STOCHAST,D-10117 BERLIN,GERMANY

来源：

SIAM JOURNAL ON NUMERICAL ANALYSIS | 1995年 / 32卷 / 05期

关键词：

STOCHASTIC DIFFERENTIAL EQUATIONS; ITO DIFFUSIONS; EXTRAPOLATION METHODS; WEAK APPROXIMATION; STOCHASTIC TAYLOR FORMULA;

D O I：

10.1137/0732069

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Higher-order weak extrapolation methods for the approximation of functionals of Ito diffusions are considered. Under appropriate regularity conditions it is shown that extrapolations allow a considerable increase in the weak order of convergence of a discrete-time one-step approximation method. Numerical experiments indicate the efficiency of extrapolations based on higher-order weak schemes for stochastic differential equations with additive noise.

引用

页码：1519 / 1534

页数：16

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