Tid: 24 november 2011 kl 14.15-15.00. (OBS! Dagen)Lokal: Sal D2, Lindstedtsvägen 5, entréplan, KTH (OBS! Lokal) Karta!
Föredragshållare: Christian Bayer, University of Vienna
Titel: Splitting and cubature schemes for stochastic differential equations
Abstract: Weak approximation of SDEs is one of the most important topics numerical topics of mathematical finance.High order numerical schemes can be constructed by the Kusuoka-Lyons-Victoir method. We give an overview of some variants of this approach, mostly the Ninomiya-Victoir method, which has two distinct interpretations as a cubature method on Wiener space and as a stochastic splitting method. We also present some numerical examples.
|Sidansvarig: Filip Lindskog