Sökning: "Anders Muszta"

Hittade 2 avhandlingar innehållade orden Anders Muszta.

  1. 1. Contributions to Numerical Solution of Stochastic Differential Equations

    Författare :Anders Muszta; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Nyckelord :adaptive method; change of time; CIR model; CKLS model; convergence order; Euler method; heavy-tailed SDE; hyperbolic SDE; geometric integration; global Lipschitz condition; Levy process; Lie group method; local Lipschitz condition; local martingales; mean reversion; Milstein method; numerical method; semimartingale; stochastic differential equation; stochastic Taylor expansion; strong approximation; symplectic integration; volatility induced stationarity; waveform relaxation; volatility induced stationarity;

    Sammanfattning : This thesis consists of four papers: Paper I is an overview of recent techniques in strong numerical solutions of stochastic differential equations, driven by Wiener processes, that have appeared the last then 10 years, or so. Paper II studies theoretical and numerical aspects of stochastic differential equations with so called volatility induced stationarity. LÄS MER

  2. 2. Recent advances in the numerical solution of stochastic differential equations

    Författare :Anders Muszta; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : .... LÄS MER