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math.PR2016★ 1 cited
Ninomiya-Victoir scheme : strong convergence properties and discretization of the involved Ordinary Differential Equations
Anis Al Gerbi, Benjamin Jourdain, Emmanuelle Clément
In this paper, we summarize the results about the strong convergence rate of the Ninomiya-Victoir scheme and the stable convergence in law of its normalized error that we obtained…
math.PR2016
Asymptotic error distribution for the Ninomiya-Victoir scheme in the commutative case
Anis Al Gerbi, Benjamin Jourdain, Emmanuelle Clément
In a previous work, we proved strong convergence with order of the Ninomiya-Victoir scheme with time step to the solution of the limiting SDE when the Browni…
math.PR2016★ 1 cited
Asymptotics for the normalized error of the Ninomiya-Victoir scheme
Anis Al Gerbi, Benjamin Jourdain, Emmanuelle Clément
In a previous work, we proved strong convergence with order of the Ninomiya-Victoir scheme with time step to the solution of the limiting SDE. In this pa…