Numerical Simulations of Linear Stochastic Oscillators : driven by Wiener and Poisson processes
The main component of this essay is the numerical analysis of stochastic differential equations driven by Wiener and Poisson processes. In order to do this, we focus on two model problems, the geometric Brownian motion and the linear stochastic oscillator, studied in the literature for stochastic di...
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| Format: | Others |
| Language: | English |
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Umeå universitet, Institutionen för matematik och matematisk statistik
2017
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-134800 |