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A new extrapolation method for weak approximation schemes with applications

Research paper by Kojiro Oshima, Josef Teichmann, Dejan Veluscek

Indexed on: 23 Nov '09Published on: 23 Nov '09Published in: Mathematics - Probability



Abstract

We review Fujiwara's scheme, a sixth order weak approximation scheme for the numerical approximation of SDEs, and embed it into a general method to construct weak approximation schemes of order $ 2m $ for $ m \in \mathbf{N} $. Those schemes cannot be seen as cubature schemes, but rather as universal ways how to extrapolate from a lower order weak approximation scheme, namely the Ninomiya-Victoir scheme, for higher orders.