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Aufsatz / Paper in SCI-Expanded-Zeitschrift

Weak approximation of stochastic differential delay equations

Buckwar E., Shardlow T.: Weak approximation of stochastic differential delay equations, in: IMA Journal of Numerical Analysis, Volume 25, Number 1, Page(s) 57-86, 2005.

BibTeX

@ARTICLE{
title = {Weak approximation of stochastic differential delay equations},
type = {Aufsatz / Paper in SCI-Expanded-Zeitschrift},
author = {Buckwar, Evelyn and Shardlow, Tony},
language = {EN},
abstract = {A numerical method for a class of Itô stochastic differential equations with a finite delay term is introduced. The method is based on the forward Euler approximation and is parametrized by its time step. Weak convergence with respect to a class of smooth test functionals is established by using the infinite-dimensional version of the Kolmogorov equation. With regularity assumptions on coefficients and initial data, the rate of convergence is shown to be proportional to the time step. Some computations are presented to demonstrate the rate of convergence.},
pages = {57-86},
publisher = {Oxford University Press, Oxford},
journal = {IMA Journal of Numerical Analysis},
volume = {25},
number = {1},
issn = {0272-4979},
year = {2005},
}

Details

Zusammenfassung: A numerical method for a class of Itô stochastic differential equations with a finite delay term is introduced. The method is based on the forward Euler approximation and is parametrized by its time step. Weak convergence with respect to a class of smooth test functionals is established by using the infinite-dimensional version of the Kolmogorov equation. With regularity assumptions on coefficients and initial data, the rate of convergence is shown to be proportional to the time step. Some computations are presented to demonstrate the rate of convergence.

Journal: IMA Journal of Numerical Analysis
Volume: 25
Nummer: 1
Erscheinungsjahr: 2005
Seitenreferenz: 57-86
Anzahl Seiten: 30
Verlag: Oxford University Press, Oxford
ISSN: 0272-4979
Reichweite: International

Beteiligte

AutorInnen / HerausgeberInnen: Univ.-Prof. Dr. Evelyn Buckwar, Dr. Tony Shardlow

Forschungseinheiten der JKU:

Wissenschaftszweige: 1103 Analysis | 1113 Mathematische Statistik | 1114 Numerische Mathematik | 1118 Wahrscheinlichkeitstheorie | 1121 Operations Research | 1145 Zeitreihenanalyse | 1165 Stochastik | 5943 Risikoforschung

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