A new extrapolation method for weak approximation schemes with applications

2009/11/23 by Kojiro Oshima, Oshima, Kojiro, Josef Teichmann +3 · 1 citation
Engineering · Mathematics · #65H35 #Advanced Numerical Methods in Computational Mathematics #Differential Equations and Numerical Methods #FOS: Mathematics #Numerical Analysis (math.NA) #Numerical methods in inverse problems #Probability (math.PR)

paper · pdf · doi:10.48550/arxiv.0911.4380

openalex publication_date 2009/11/23 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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 ∈ 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.

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• A high-order recombination algorithm for weak approximation of stochastic differential equations

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