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

2012/10/19 by Philipp Doersek, Eskil Hansen, Doersek, Philipp +1
Economics, Econometrics and Finance · Mathematics · #Climate Change Policy and Economics #Computational Finance (q-fin.CP) #Differential Equations and Numerical Methods #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Mathematical Biology Tumor Growth #Numerical Analysis (math.NA) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1210.5392

openalex publication_date 2012/10/19 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

High order splitting schemes with complex timesteps are applied to Kolmogorov\nbackward equations stemming from stochastic differential equations in\nStratonovich form. In the setting of weighted spaces, the necessary analyticity\nof the split semigroups can be easily proved. A numerical example from interest\nrate theory, the CIR2 model, is considered. The numerical results are robust\nfor drift-dominated problems, and confirm our theoretical results.\n

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