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Adaptive weak appro...
Adaptive weak approximation of diffusions with jumps
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- Mordecki, Ernesto (författare)
- Universidad de la República, Iguá 4225, Montevideo, Uruguay
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- Szepessy, Anders (författare)
- KTH,Matematik (Inst.)
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Tempone, Raúl (författare)
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- Zouraris, Georgios (författare)
- Div of Applied Math - Statistics, Univ of Crete,Numerical Analysis
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Universidad de la República, Iguá 4225, Montevideo, Uruguay Matematik (Inst) (creator_code:org_t)
- Society for Industrial & Applied Mathematics (SIAM), 2008
- 2008
- Engelska.
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Ingår i: SIAM Journal on Numerical Analysis. - : Society for Industrial & Applied Mathematics (SIAM). - 0036-1429 .- 1095-7170. ; 46:4, s. 1732-1768
- Relaterad länk:
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http://dx.doi.org/10...
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http://arxiv.org/pdf...
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- This work develops Monte Carlo Euler adaptive time stepping methods for the weak approximation problem of jump diffusion driven stochastic differential equations. The main result is the derivation of a new expansion for the omputational error, with computable leading order term in a posteriori form, based on stochastic flows and discrete dual backward problems which extends the results in [STZ]. These expansions lead to efficient and accurate computation of error estimates. Adaptive algorithms for either stochastic time steps or quasi-deterministic time steps are described. Numerical examples show the performance of the proposed error approximation and of the described adaptive time-stepping methods.
Ämnesord
- NATURVETENSKAP -- Matematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics (hsv//eng)
Nyckelord
- diffusions with jumps
- weak approximation
- error control
- Euler-Maruyama method
- a posteriori error estimates
- backward dual functions
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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