Results 11 to 20 of about 368,612 (246)
Probabilistic Richardson extrapolation. [PDF]
J R Stat Soc Series B Stat MethodolAbstract For over a century, extrapolation methods have provided a powerful tool to improve the convergence order of a numerical method. However, these tools are not well-suited to modern computer codes, where multiple continua are discretized and convergence orders are not easily analysed.
Oates CJ +4 more
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Solving Advection Equations by Applying the Crank-Nicolson Scheme Combined with the Richardson Extrapolation [PDF]
International Journal of Differential Equations, 2011 Advection equations appear often in large-scale mathematical models arising in many fields of science and engineering. The Crank-Nicolson scheme can successfully be used in the numerical treatment of such equations. The accuracy of the numerical solution
Zahari Zlatev +5 more
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Über Birkhoff‐Interpolation und Richardson‐Extrapolation [PDF]
ZAMM - Journal of Applied Mathematics and Mechanics / Zeitschrift für Angewandte Mathematik und Mechanik, 1973 AbstractIn Erweiterung von Arbeiten von Pólya und Schoenberg wird eine Restglieddarstellung für die quasihermitesche Interpolationsaufgabe gewonnen. Da die Extrapolation bei Diskretisierungsverfahren als eine solche Aufgabe gedeutet werden kann, gelingt auf diesem Wege die Herleitung einiger Fehlerdarstellungen bei Extrapolationsaufgaben.
Elsner, Ludwig
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Solving Reaction-Diffusion and Advection Problems with Richardson Extrapolation [PDF]
Journal of Chemistry, 2015 Richardson extrapolation is a simple but powerful computational tool to enhance the accuracy of time integration methods. In the past years a few theoretical and partly practical works have been presented on this method.
Tamás Mona +2 more
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Static hedging with repeated Richardson extrapolation [PDF]
, 2021 This thesis explores the Repeated Richardson extrapolation technique when applied to static replication methodologies in the valuation of European-style barrier options under both the constant elasticity of variance (CEV) model and the jump to default extended constant elasticity of variance (JDCEV) model.
Ildefonso, João Seguro
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Richardson extrapolation techniques for the pricing of American‐style options
Journal of Futures Markets, 2002 AbstractIn this article, the authors reexamine the American‐style option pricing formula of R. Geske and H.E. Johnson (1984), and extend the analysis by deriving a modified formula that can overcome the possibility of nonuniform convergence (which is likely to occur for nonstandard American options whose exercise boundary is discontinuous) encountered ...
Stapleton, Richard +3 more
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Multilevel Richardson-Romberg Extrapolation [PDF]
Bernoulli, 2014 We propose and analyze a Multilevel Richardson-Romberg ($MLRR$) estimator which combines the higher order bias cancellation of the Multistep Richardson-Romberg ($MSRR$) method introduced in [Pag07] and the variance control resulting from the stratification in the Multilevel Monte Carlo ($MLMC$) method (see [Hei01, Gil08]). Thus we show that in standard
Lemaire, Vincent, Pagès, Gilles
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Richardson Extrapolation of Polynomial Lattice Rules [PDF]
SIAM Journal on Numerical Analysis, 2019 We study multivariate numerical integration of smooth functions in weighted Sobolev spaces with dominating mixed smoothness $\alpha\geq 2$ defined over the $s$-dimensional unit cube. We propose a new quasi-Monte Carlo (QMC)-based quadrature rule, named the extrapolated polynomial lattice rule, which achieves the almost optimal rate of convergence ...
Josef Dick +2 more
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On the Effectiveness of Richardson Extrapolation in Data Science
SIAM Journal on Mathematics of Data Science, 2021 Richardson extrapolation is a classical technique from numerical analysis that can improve the approximation error of an estimation method by combining linearly several estimates obtained from different values of one of its hyperparameters without the need to know in details the inner structure of the original estimation method.
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Fluids, 2023 In this work we investigate the effectiveness of the Backward Euler-Backward Differentiation Formula (BE-BDF2) in solving unsteady compressible inviscid and viscous flows.
Alessandra Nigro
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