Numerical Complexity Analysis of Weak Approximation of Stochastic Differential Equations

Numerical Complexity Analysis of Weak Approximation of Stochastic Differential Equations

The thesis consists of four papers on numerical complexityanalysis of weak approximation of ordinary and partialstochastic differential equations, including illustrativenumerical examples. Here by numerical complexity we mean thecomputational work needed by a numerical method to solve aproblem with...

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Bibliographic Details
Main Author: Tempone Olariaga, Raul
Format: Doctoral Thesis
Language:English
Published: KTH, Numerisk analys och datalogi, NADA 2002
Subjects:
Adaptive methods
a posteriori error estimates
stochastic differential equations
weak approximation
Monte Carlo methods
Malliavin Calculus
HJM model
option price
bond market
stochastic elliptic equation
Karhunen-Loeve expansion
numerical co
Numerical analysis
Numerisk analys
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-3413
http://nbn-resolving.de/urn:isbn:91-7283-350-5

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-3413
http://nbn-resolving.de/urn:isbn:91-7283-350-5

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