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Probability Seminar

SPEAKER: Mr. Ernest Jum

TITLE: Jump-adapted discretization schemes for Levy driven SDEs, Part 3.

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

Monday, 18 February, 2013


Phone: 974-2463



Ayres Hall

Room 122

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