关于多步稳定修正分裂方法及其在Heston模型中的应用
On Multistep Stabilizing Correction Splitting Methods with Applications to the Heston Model
AI总结：
本文提出多步稳定修正分裂方法，通过高阶外推公式与低阶隐式公式结合提升稳定性，应用于Heston模型验证其有效性。
摘要：
在本文中，我们考虑基于线性多步方法的分裂方法并引入稳定修正。为提高方法的稳定性，我们采用Bruno与Cubillos（2016）提出的思想，将显式项的高阶外推公式与隐式项的低阶公式结合。展示了所获得的多步稳定修正方法的几个例子，并推导了线性稳定性及收敛性结果。这些方法在应用于金融数学中著名的Heston模型时得到验证，结果显示其与文献中已建立的一步分裂方法具有竞争力。
英文摘要：
In this note we consider splitting methods based on linear multistep methods and stabilizing corrections. To enhance the stability of the methods, we employ an idea of Bruno & Cubillos (2016) who combine a high-order extrapolation formula for the explicit term with a formula of one order lower for the implicit terms. Several examples of the obtained multistep stabilizing correction methods are presented, and results on linear stability and convergence are derived. The methods are tested in the application to the well-known Heston model arising in financial mathematics and are found to be competitive with well-established one-step splitting methods from the literature.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
