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Numerical approximation of diffusion processes via Malliavin calculus

Mark Podolskij
(Department of Mathematics, Aarhus University)
Thieleseminar
Torsdag, 10 september, 2015, at 13:15-14:00, in Koll. D (1531-211)
Abstrakt:

We present a Karhunen-Loeve type expansion for solutions of continuous stochastic differential equations. In particular, this expansion provides a method of numerical approximation by truncating the infinite sum. The discussion of the error term is a non-trivial issue and we apply Malliavin calculus to get the error bound.

Organiseret af: The T.N. Thiele Centre
Kontaktperson: Søren Asmussen