Numerical methods for approximating solutions to rough differential equations

Numerical methods for approximating solutions to rough differential equations

The main motivation behind writing this thesis was to construct numerical methods to approximate solutions to differential equations driven by rough paths, where the solution is considered in the rough path-sense. Rough paths of inhomogeneous degree of smoothness as driving noise are considered. We...

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Bibliographic Details
Main Author: Gyurko, Lajos Gergely
Other Authors: Lyons, Terry
Published: University of Oxford 2008
Subjects:
510
Mathematics : Approximations and expansions : Mathematical finance : Numerical analysis : Partial differential equations : Probability theory and stochastic processes : Stochastic differential equations : numerical solution : weak approximation : cubature : Wiener space : rough paths : rough differential equation
Online Access:http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.496902

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http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.496902

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