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

• Autores: Philipp Dörsek, Eskil Hansen
• Localización: Journal of computational and applied mathematics, ISSN 0377-0427, Vol. 262, Nº 1, 2014, págs. 234-243
• Idioma: inglés
• DOI: 10.1016/j.cam.2013.07.037
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• Resumen

  • 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.