1 citations · 2 across the 4 of their papers we have counts for
4 papers
High order splitting schemes with complex timesteps and their application in mathematical finance
Philipp Doersek, Eskil Hansen
High order splitting schemes with complex timesteps are applied to Kolmogorov backward equations stemming from stochastic differential equations in Stratonovich form. In the settin…
Cubature Methods For Stochastic (Partial) Differential Equations In Weighted Spaces
Philipp Doersek, Josef Teichmann, Dejan Veluscek
The cubature on Wiener space method, a high-order weak approximation scheme, is established for SPDEs in the case of unbounded characteristics and unbounded payoffs. We first intro…
Efficient simulation and calibration of general HJM models by splitting schemes
Philipp Doersek, Josef Teichmann
We introduce efficient numerical methods for generic HJM equations of interest rate theory by means of high-order weak approximation schemes. These schemes allow for QMC implementa…
Semigroup Splitting And Cubature Approximations For The Stochastic Navier-Stokes Equations
Philipp Doersek
Approximation of the marginal distribution of the solution of the stochastic Navier-Stokes equations on the two-dimensional torus by high order numerical methods is considered. The…