The Local Discontinuous Galerkin Method for Time-Dependent Convection-Diffusion Systems
SIAM Journal on Numerical Analysis
SIAM Journal on Numerical Analysis
Stabilized hp-Finite Element Methods for First-Order Hyperbolic Problems
SIAM Journal on Numerical Analysis
Multilevel Monte Carlo Path Simulation
Operations Research
On the necessity of negative coefficients for operator splitting schemes of order higher than two
Applied Numerical Mathematics
Semigroup Splitting and Cubature Approximations for the Stochastic Navier-Stokes Equations
SIAM Journal on Numerical Analysis
Hi-index | 7.29 |
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.