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LSS processes as boundary solutions to hyperbolic SPDES

Heidar Eyjolfsson
(University of Oslo)
Thiele Lunch Meeting
Monday, 16 May, 2011, at 12:00-13:00, B3.22
In this talk I will introduce a finite difference scheme to simulate solutions to a certain type of hyperbolic SPDE. These solutions can in turn estimate so called Lévy semistationary processes, which is a class of processes that have been employed to model various phenomena, including electricity forward and spot prices.

Organised by: The T.N. Thiele Centre
Contact person: Andreas Basse