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Items for "stochastic differential equation"

Dirichlet Forms in Simulation

Equipping the probability space with a local Dirichlet form with square field operator Γ and generator A allows to improve Monte Carlo computations of expectations, densities, and conditional expectations, as soon as we are able to simulate a random variable X together with Γ[X] and A[X]...

Keywords: square field operator, Wiener space, Poisson space, Density, stochastic differential equation, Dirichlet form, error

12/2005 | Monte Carlo Methods and Applications, Walter de Gruyter

A partial sampling method applied to the Kusuoka approximation

The Kusuoka approximation is a new simulation scheme for diffusion processes which are solutions of SDE with smooth coefficients...

Keywords: stochastic differential equation, Simulation, Diffusion Process, Monte Carlo, Quasi-Monte Carlo, Numerical Integration, Finance

01/2003 | Monte Carlo Methods and Applications, Walter de Gruyter

A fractional stochastic evolution equation driven by fractional Brownian motion

This paper introduces a semilinear stochastic evolution equation which contains fractional powers of the infinitesimal generator of a strongly continuous semigroup and is driven by Hilbert space-valued fractional Brownian motion...

Keywords: Stochastic evolution equation, stochastic differential equation, long-range dependence

09/2003 | Monte Carlo Methods and Applications, Walter de Gruyter

Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds

In this paper we study an inverse problem for a parabolic partial differential equation...

Keywords: Inverse problem for PDE, maximum likelihood estimation, stochastic differential equation, wavelets