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Extrapolation Methods For The Weak Approximation Of Ito Diffusions

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Abstract

Higher-order weak extrapolation methods for the approximation of functionals of Ito diffusions are considered. Under appropriate regularity conditions it is shown that extrapolations allow a considerable increase in the weak order of convergence of a discrete-time one-step approximation method. Numerical experiments indicate the efficiency of extrapolations based on higher-order weak schemes for stochastic differential equations with additive noise.

Suggested Citation

  • P. E. Kloeden & Eckhard Platen & N. Hofmann, 1995. "Extrapolation Methods For The Weak Approximation Of Ito Diffusions," Published Paper Series 1995-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    • Handle: RePEc:uts:ppaper:1995-1
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    File URL: https://epubs.siam.org/doi/pdf/10.1137/0732069
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    Cited by:

    1. S. C. Kou & Benjamin P. Olding & Martin Lysy & Jun S. Liu, 2012. "A Multiresolution Method for Parameter Estimation of Diffusion Processes," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(500), pages 1558-1574, December.

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