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

Summary, in English

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.

• Författare: Philipp Doersek; Eskil Hansen
• Avdelning/ar: Matematik LTH; Numerical Analysis
• Publiceringsår: 2014
• Språk: Engelska
• Sidor: 234-243
• Publikation/Tidskrift/Serie: Journal of Computational and Applied Mathematics
• Volym: 262
• Fulltext: - 282 kB; Download statistics
• Länkar: http://dx.doi.org/10.1016/j.cam.2013.07.037
• Dokumenttyp: Artikel i tidskrift
• Förlag: Elsevier
• Ämne: Mathematics
• Nyckelord: Splitting methods; Complex coefficients; Mathematical finance; Convection-dominated problems; Interest rate theory
• Status: Published
• Forskningsgrupp: Numerical Analysis
• ISBN/ISSN/Övrigt: ISSN: 0377-0427