A generic construction for high order approximation schemes of semigroups using random grids
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics
Link
https://link.springer.com/content/pdf/10.1007/s00211-021-01219-2.pdf
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4. Alfonsi, A., Hayashi, M., Kohatsu-Higa, A.: Parametrix methods for one-dimensional reflected SDEs. In: Modern Problems of Stochastic Analysis and Statistics, volume 208 of Springer Proceedings in Mathematics and Statistics, pp. 43–66. Springer, Cham (2017)
5. Andersson, P., Kohatsu-Higa, A.: Unbiased simulation of stochastic differential equations using parametrix expansions. Bernoulli 23(3), 2028–2057 (2017)
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1. High order approximations of the Cox–Ingersoll–Ross process semigroup using random grids;IMA Journal of Numerical Analysis;2023-08-24
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