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A new extrapolation method for weak approximation schemes with applications
Oshima, Kojiro ; Teichmann, Josef ; Velušček, Dejan
Fujiwarovo metodo lahko interpretiramo kot ekstrapolacijsko metodo 6. reda Ninomiya-Victoir šibke aproksimacijske sheme za numerično aproksimacijo rešitve stohastične diferencialne enačbe. Članek ...predstavi razširitev Fujiwarove metode, ki doseže poljubno visok numerični red konvergence in ki se sklada z originalno Fujiwarovo metodo pri redu 6. Na predstavljeno razširitev lahko gledamo kot na varianto Richardsonove ekstrapolacije, ki nam z malo ekstrapolacijskimi koraki omogoči doseganje visokih numeričnih redov. Najpomembnejši del našega prispevka je, da za doseganje numeričnega reda ▫$2m$▫ potrebujemo le ▫$m$▫ ekstapolacijskih korakov, kar je le polovica korakov, potrebnih pri klasičnih pristopih.
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