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Probability Seminar

SPEAKER:  Mr. Ernest Jum

TITLE:  Jump-adapted discretization schemes for Levy driven SDEs

ABSTRACT:  An algorithm for weak approximation of stochastic differential equations driven by pure jump Levy processes is presented. The method uses adaptive non-uniform discretization based on the times of large jumps of the driving process. To approximate the solution between these times, the small jump noise is replaced with a Brownian motion. This technique avoids the simulation of the increments of the Levy process and in many cases achieves a better rate of convergence than the traditional Euler scheme with equal time steps.

Where

Ayres Hall

Room 405
1403 Circle Drive
Knoxville, TN 37996

When

Monday, 04 February, 2013

Who to contact

Contact:

Phone: 974-2463

Cost:

Free