Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Gerbi, Anis Al"'
In this paper, we summarize the results about the strong convergence rate of the Ninomiya-Victoir scheme and the stable convergence in law of its normalized error that we obtained in previous papers. We then recall the properties of the multilevel Mo
Externí odkaz:
http://arxiv.org/abs/1612.07017
In a previous work, we proved strong convergence with order $1$ of the Ninomiya-Victoir scheme $X^{NV}$ with time step $T/N$ to the solution $X$ of the limiting SDE when the Brownian vector fields commute. In this paper, we prove that the normalized
Externí odkaz:
http://arxiv.org/abs/1605.08270
In a previous work, we proved strong convergence with order $1/2$ of the Ninomiya-Victoir scheme $X^{NV,\eta}$ with time step $T/N$ to the solution $X$ of the limiting SDE. In this paper we check that the normalized error defined by $\sqrt{N}\left(X
Externí odkaz:
http://arxiv.org/abs/1601.05268
In this paper, we are interested in the strong convergence properties of the Ninomiya-Victoir scheme which is known to exhibit weak convergence with order 2. We prove strong convergence with order $1/2$. This study is aimed at analysing the use of th
Externí odkaz:
http://arxiv.org/abs/1508.06492