Implicit numerical simulation of stochastic differential equations with jumps
Implicit numerical methods such as the stochastic theta-method offer a practical way to approximate solutions of stochastic differential equations. The method involves a parameter, θ, which is freely chosen. In this thesis, we investigate strong convergence and linear stability, both mean-square and...
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University of Strathclyde
2008
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ndltd-bl.uk-oai-ethos.bl.uk-5016572015-03-20T05:31:01ZImplicit numerical simulation of stochastic differential equations with jumpsChalmers, Graeme D.2008Implicit numerical methods such as the stochastic theta-method offer a practical way to approximate solutions of stochastic differential equations. The method involves a parameter, θ, which is freely chosen. In this thesis, we investigate strong convergence and linear stability, both mean-square and asymptotic, arising from the implementation of the theta-method when applied to ordinary stochastic differential equations incoroporating jumps. Such models are used in several disciplines; in particular, we note their use as models for various financial quantities such as asset prices, interest rates and volatility.519.22University of Strathclydehttp://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.501657Electronic Thesis or Dissertation |
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519.22 |
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519.22 Chalmers, Graeme D. Implicit numerical simulation of stochastic differential equations with jumps |
| description |
Implicit numerical methods such as the stochastic theta-method offer a practical way to approximate solutions of stochastic differential equations. The method involves a parameter, θ, which is freely chosen. In this thesis, we investigate strong convergence and linear stability, both mean-square and asymptotic, arising from the implementation of the theta-method when applied to ordinary stochastic differential equations incoroporating jumps. Such models are used in several disciplines; in particular, we note their use as models for various financial quantities such as asset prices, interest rates and volatility. |
| author |
Chalmers, Graeme D. |
| author_facet |
Chalmers, Graeme D. |
| author_sort |
Chalmers, Graeme D. |
| title |
Implicit numerical simulation of stochastic differential equations with jumps |
| title_short |
Implicit numerical simulation of stochastic differential equations with jumps |
| title_full |
Implicit numerical simulation of stochastic differential equations with jumps |
| title_fullStr |
Implicit numerical simulation of stochastic differential equations with jumps |
| title_full_unstemmed |
Implicit numerical simulation of stochastic differential equations with jumps |
| title_sort |
implicit numerical simulation of stochastic differential equations with jumps |
| publisher |
University of Strathclyde |
| publishDate |
2008 |
| url |
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.501657 |
| work_keys_str_mv |
AT chalmersgraemed implicitnumericalsimulationofstochasticdifferentialequationswithjumps |
| _version_ |
1716791845756862464 |