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Our aim is to construct high order approximation schemes for general semigroups of linear operators $P_{t},t\geq 0$. In order to do it, we fix a time horizon $T $ and… Click to show full abstract
Our aim is to construct high order approximation schemes for general semigroups of linear operators $P_{t},t\geq 0$. In order to do it, we fix a time horizon $T $ and the discretization steps $h_{l}=\frac{T}{n^{l}},l\in \mathbb{N}$ and we suppose that we have at hand some short time approximation operators $Q_{l}$ such that $P_{h_{l}}=Q_{l}+O(h_{l}^{1+\alpha })$ for some $\alpha >0$. Then, we consider random time grids $\Pi (\omega )=\{t_0(\omega )=0
Keywords:
order approximation;
order;
approximation;
omega omega;
approximation schemes;
random grids
Journal Title: Numerische Mathematik
Year Published: 2021
Link to full text (if available)
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Journal Title: Numerische Mathematik
Year Published: 2021
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!