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

نویسندگان

  • Philipp Dörsek
  • Eskil Hansen
چکیده

High order splitting schemes with complex timesteps are applied to Kolmogorov backward equations stemming from stochastic differential equations in Stratonovich form. In the setting of weighted spaces, the necessary analyticity of the split semigroups can be easily 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.

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عنوان ژورنال:
  • J. Computational Applied Mathematics

دوره 262  شماره 

صفحات  -

تاریخ انتشار 2014