Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators

Autor: Anis Al Gerbi, Emmanuelle Clément, Benjamin Jourdain

Publikováno v: Monte Carlo Methods and Applications
Monte Carlo Methods and Applications, De Gruyter, 2016, 22 (3), pp.197-228
Monte Carlo Methods and Applications, De Gruyter, 2016, 22 (3), ⟨10.1515/mcma-2016-0109⟩
Monte Carlo Method and Applications
Monte Carlo Method and Applications, 2016, 22 (3), pp.197-228
Monte Carlo Methods and Applications, 2016, 22 (3), pp.197-228

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 ${1/2}$ . This study is aimed at analysing th

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c27e68d483128877925f51fe453db623
http://arxiv.org/pdf/1508.06492

Ninomiya-Victoir scheme : strong convergence, asymptotics for the normalized error and multilevel Monte Carlo methods

Autor: Al Gerbi, Anis

Cette thèse est consacrée à l'étude des propriétés de convergence forte du schéma de Ninomiya et Victoir. Les auteurs de ce schéma proposent d'approcher la solution d'une équation différentielle stochastique (EDS), notée $X$, en résolvant

Externí odkaz: http://www.theses.fr/2016PESC1022/document

A new extrapolation method for weak approximation schemes with applications

Autor: Kojiro Oshima, Josef Teichmann, Dejan Velušček

Publikováno v: Ann. Appl. Probab. 22, no. 3 (2012), 1008-1045

Fujiwara’s method can be considered as an extrapolation method of order 6 of the Ninomiya–Victoir weak approximation scheme for the numerical approximation of solution processes of SDEs. We present an extension of Fujiwara’s method for arbitrar

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8255c954ed0fb4e2d9b8264a6fded532
https://doi.org/10.1214/11-aap774

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