Virtualconference
H Stochastic differential equations
Auteurs : Leobacher, Gunther (Auteur de la Conférence)
CIRM (Editeur )
CIRM (Editeur )
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PDMPs and Integrals PDMPs in risk theory and QMC integration II
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Quasi-Monte Carlo methods and applications: introduction
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Risk theory: models and objectives PDMPs in risk theory and QMC integration I
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/ Auteur de la Conférence Leobacher, Gunther.
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Two concrete FinTech applications of QMC
/ Auteur de la Conférence Larcher, Gerhard.
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Number sequences for simulation - lecture 1
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- Leobacher, Gunther; Szölgyenyi, Michaela A strong order 1/2 method for multidimensional SDEs with discontinuous drift.The Annals of Applied Probability, 2017, vol. 27, no 4, p. 2383-2418. - http://dx.doi.org/10.1214/16-AAP1262
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Résumé :
In the second part we show how the classical result can be used also for SDEs with drift that may be discontinuous and diffusion that may be degenerate. In that context I will present a concept of (multidimensional) piecewise Lipschitz drift where the set of discontinuities is a sufficiently smooth hypersurface in the multi-dimensional euclidean space. We discuss geometric properties of the set of discontinuities that are needed to transfer the convergence result from the Lipschitz case to the piecewise Lipschitz case.
Keywords : Quasi-Monte Carlo; stochastic differential equations; irregular coefficients
Codes MSC :
60H10
- Stochastic ordinary differential equations
65C05
- Monte Carlo methods
91G60
- Numerical methods in mathematical finance
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Informations sur la Vidéo
Réalisateur : Hennenfent, GuillaumeLangue : Anglais Date de publication : 02/11/2020 Date de captation : 02/11/2020 Collection : Research School ; Numerical Analysis and Scientific Computing ; Probability and Statistics Durée : 00/50:16 Domaine : Numerical Analysis & Scientific Computing ; Probability & Statistics Audience : Chercheurs ; Doctorants , Post - Doctorants Download : https://videos.cirm-math.fr/2020-10-29_Leobacher 2.mp4 
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Informations sur la Rencontre Virtuelle
Nom de la rencontre : Jean-Morlet Chair 2020 - Research School: Quasi-Monte Carlo Methods and Applications / Chaire Jean-Morlet 2020 - Ecole: Méthode de quasi-Monte-Carlo et applicationsOrganisateurs de la rencontre : Rivat, Joël ; Thonhauser, Stefan ; Tichy, Robert Dates : 02/11/2020 - 07/11/2020 Année de la rencontre : 2020 URL Congrès : https://www.chairejeanmorlet.com/2255.html
Citation Data
DOI : 10.24350/CIRM.V.19680203Cite this video as: Leobacher, Gunther (2020). Stochastic differential equations.CIRM . Audiovisual resource. doi:10.24350/CIRM.V.19680203 URI : http://dx.doi.org/10.24350/CIRM.V.19680203 |
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