Article ID Journal Published Year Pages File Type
4638973 Journal of Computational and Applied Mathematics 2014 10 Pages PDF
Abstract

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

Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
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