High order splitting schemes with complex timesteps and their application in mathematical finance
(2014) In Journal of Computational and Applied Mathematics 262. p.234-243- 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. (C) 2013 Elsevier B.V. All rights reserved.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/4417526
- author
- Doersek, Philipp
and Hansen, Eskil
LU
- organization
- publishing date
- 2014
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Splitting methods, Complex coefficients, Mathematical finance, Convection-dominated problems, Interest rate theory
- in
- Journal of Computational and Applied Mathematics
- volume
- 262
- pages
- 234 - 243
- publisher
- Elsevier
- external identifiers
-
- wos:000332050200021
- scopus:84893814119
- ISSN
- 0377-0427
- DOI
- 10.1016/j.cam.2013.07.037
- language
- English
- LU publication?
- yes
- additional info
- The information about affiliations in this record was updated in December 2015. The record was previously connected to the following departments: Numerical Analysis (011015004)
- id
- 86837319-8ddf-4412-94bf-a9d2bc590f0e (old id 4417526)
- date added to LUP
- 2016-04-01 13:34:05
- date last changed
- 2024-08-28 22:12:17
@article{86837319-8ddf-4412-94bf-a9d2bc590f0e, 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. (C) 2013 Elsevier B.V. All rights reserved.}}, author = {{Doersek, Philipp and Hansen, Eskil}}, issn = {{0377-0427}}, keywords = {{Splitting methods; Complex coefficients; Mathematical finance; Convection-dominated problems; Interest rate theory}}, language = {{eng}}, pages = {{234--243}}, publisher = {{Elsevier}}, series = {{Journal of Computational and Applied Mathematics}}, title = {{High order splitting schemes with complex timesteps and their application in mathematical finance}}, url = {{https://lup.lub.lu.se/search/files/3451758/4431826.pdf}}, doi = {{10.1016/j.cam.2013.07.037}}, volume = {{262}}, year = {{2014}}, }