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Quantitative Finance · Glossary

What is Richardson extrapolation?

Definition 27.10 Quantitative Methods · Chapter 27 — Finite-Difference Methods

Richardson extrapolation (Richardson, 1911) combines two approximations uhu_h and uh/2u_{h/2} whose error is ChpCh^p into uh/2+(uh/2−uh)/(2p−1)u_{h/2} + (u_{h/2} - u_h)/(2^p - 1), which cancels the leading term.

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