A new extrapolation method for weak approximation schemes with applications

DOI10.1214/11-AAP774zbMath1349.65035arXiv0911.4380MaRDI QIDQ433903

Kojiro Oshima, Dejan Velušček, Josef Teichmann

Publication date: 8 July 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.4380

zbMATH Keywords

extrapolationRichardson extrapolationcubature methodshigh order methodsfujiwara extrapolation methodninomiya-victoir schemeweak approximation schemes

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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