DSpace Collection:
http://hdl.handle.net/2381/8090
2017-05-26T20:43:49ZAn Optimization Approach to Weak Approximation of Lévy-Driven Stochastic Differential Equations
http://hdl.handle.net/2381/8091
Title: An Optimization Approach to Weak Approximation of Lévy-Driven Stochastic Differential Equations
Authors: Kashima, Kenji; Kawai, Reiichiro
Abstract: We propose an optimization approach to weak approximation of Lévy-driven stochastic differential equations. We employ a mathematical programming framework to obtain numerically upper and lower bound estimates of the target expectation, where the optimization procedure ends up with a polynomial programming problem. An advantage of our approach is that all we need is a closed form of the Lévy measure, not the exact simulation knowledge of the increments or of a shot noise representation for the time discretization approximation. We also investigate methods for approximation at some different intermediate time points simultaneously.
Description: This is the authors' final draft of the paper published as Lecture Notes in Control and Information Sciences, 2010, 398, pp. 263-272. The original publication is available at www.springerlink.com. Doi: 10.1007/978-3-540-93918-42010-06-22T13:36:16ZTopological Invariants for Projection Method Patterns
http://hdl.handle.net/2381/2696
Title: Topological Invariants for Projection Method Patterns
Authors: Hunton, John R.; Forrest, Alan2009-12-08T16:13:25ZInvariant manifolds for physical and chemical kinetics
http://hdl.handle.net/2381/2699
Title: Invariant manifolds for physical and chemical kinetics
Authors: Gorban, Alexander N.; Karlin, Iliya V.2009-12-08T16:13:25ZKinetic theory of granular gases
http://hdl.handle.net/2381/2698
Title: Kinetic theory of granular gases
Authors: Brilliantov, Nicolai V.; Pöschel, Thorsten2009-12-08T16:13:24ZConformal Geometry of Surfaces in S4 and quaternions
http://hdl.handle.net/2381/2697
Title: Conformal Geometry of Surfaces in S4 and quaternions
Authors: Burstall, F.; Ferus, D.; Leschke, K.; Pedit, F.; Pinkall, U.2009-12-08T16:13:23Z