Download or read book Upper Error Bounds for Approximations of Stochastic Differential Equations with Markovian Switching written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Differential Equations With Markovian Switching written by Xuerong Mao and published by World Scientific. This book was released on 2006-08-10 with total page 429 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook provides the first systematic presentation of the theory of stochastic differential equations with Markovian switching. It presents the basic principles at an introductory level but emphasizes current advanced level research trends. The material takes into account all the features of Ito equations, Markovian switching, interval systems and time-lag. The theory developed is applicable in different and complicated situations in many branches of science and industry./a
Download or read book Deterministic and Stochastic Error Bounds in Numerical Analysis written by Erich Novak and published by Springer. This book was released on 2006-11-15 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt: In these notes different deterministic and stochastic error bounds of numerical analysis are investigated. For many computational problems we have only partial information (such as n function values) and consequently they can only be solved with uncertainty in the answer. Optimal methods and optimal error bounds are sought if only the type of information is indicated. First, worst case error bounds and their relation to the theory of n-widths are considered; special problems such approximation, optimization, and integration for different function classes are studied and adaptive and nonadaptive methods are compared. Deterministic (worst case) error bounds are often unrealistic and should be complemented by different average error bounds. The error of Monte Carlo methods and the average error of deterministic methods are discussed as are the conceptual difficulties of different average errors. An appendix deals with the existence and uniqueness of optimal methods. This book is an introduction to the area and also a research monograph containing new results. It is addressd to a general mathematical audience as well as specialists in the areas of numerical analysis and approximation theory (especially optimal recovery and information-based complexity).
Download or read book The global error in weak approximations of stochastic differential equations written by Saadia Ghazali and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Error Analysis for Approximation of Stochastic Differential Equations Driven by Poisson Random Measures written by Erika Hausenblas and published by . This book was released on 2001 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Large Fluctuations of Stochastic Differential Equations written by Terry Lynch and published by LAP Lambert Academic Publishing. This book was released on 2010 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph deals with the asymptotic behaviour, and in particular the largest fluctuations, of various classes of stochastic differential equations (SDEs) and their discretisations. Equations subject to Markovian switching are also studied, allowing the drift and diffusion coefficients to switch randomly according to a Markov jump process. The assumptions are motivated by the large fluctuations experienced by financial markets which are subjected to random regime shifts. Such results are then applied to a variant of the classical Geometric Brownian Motion (GBM) market model. Moreover it is shown that discrete approximations to these equations, using standard and split-step implicit Euler-Maruyama methods, exhibit asymptotic behaviour which is consistent with their continuous-time counterparts.
Download or read book Applied Stochastic Differential Equations written by Simo Särkkä and published by Cambridge University Press. This book was released on 2019-05-02 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.
Download or read book Proceedings of the Conference on Stochastic Differential Equations and Applications written by Jesse David Mason and published by . This book was released on 1977 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Numerical Approximations of Stochastic Differential Equations with Non Globally Lipschitz Continuous Coefficients written by Martin Hutzenthaler and published by . This book was released on 2015 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many stochastic differential equations (SDEs) in the literature have a superlinearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler-Maruyama approximation method diverge for these SDEs in finite time. This article develops a general theory based on rare events for studying integrability properties such as moment bounds for discrete-time stochastic processes. Using this approach, we establish moment bounds for fully and partially drift-implicit Euler methods and for a class of new explicit approximation methods which require only a few more arithmetical operations than the Euler-Maruyama method. These moment bounds are then used to prove strong convergence of the proposed schemes. Finally, we illustrate our results for several SDEs from finance, physics, biology and chemistry.
Download or read book Analytic Approximations of Solutions to Stochastic Differential Equations written by Svetlana Janković and published by . This book was released on 2008 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Numerical Solutions and Stability of Stochastic Differential Equations with Markovian Switching written by Chenggui Yuan and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Approximation Theorems of Wong Zakai Type for Stochastic Differential Equations in Infinite Dimensions written by Krystyna Twardowska and published by . This book was released on 1993 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Posteriori Error Analysis of Stochastic Differential Equations Using Polynomial Chaos Approximations written by and published by . This book was released on 2011 with total page 1 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Closure Approximation Error in the Mean Solution of Stochastic Differential Equations by the Hierarchy Method written by G. Adomian and published by . This book was released on 1979 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Approximations for Ordinary Reflecting and Multivalued Stochastic Differential Equations written by Roger Pettersson and published by . This book was released on 1994 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On Numerical Approximations for Stochastic Differential Equations written by Xiling Zhang and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Numerical Approximations for Stochastic Differential Equations written by James Matthew Foster and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
