Extrapolation Methods For The Weak Approximation Of Ito Diffusions

P. E. Kloeden, Eckhard Platen () and N. Hofmann

Published Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: 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.

Keywords: stochastic differential equations; Ito diffusions; extrapolation methods; weak approximation; stochastic Taylor formula (search for similar items in EconPapers)
Pages: 16 pages
Date: 1995-01-01
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Published in: Kloeden, P., Platen, E. and Hofmann, N., 1995, "Extrapolation Methods For The Weak Approximation Of Ito Diffusions", Siam Journal On Numerical Analysis, 32(5), 1519-1534.

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