University of Cambridge > Talks.cam > Isaac Newton Institute Seminar Series > Tolerance Enforced Simulation for Stochastic Differential Equations via Rough Path Analysis

Tolerance Enforced Simulation for Stochastic Differential Equations via Rough Path Analysis

Add to your list(s) Download to your calendar using vCal

If you have a question about this talk, please contact Mustapha Amrani.

Stochastic Processes in Communication Sciences

Consider a stochastic differential equation (SDE) driven by Brownian Motion which possesses a strong solution in the interval [0,t]. Given any tolerance error, say epsilon, defined in advance, we explain how to simulate a piece-wise linear path which approximates the underlying SDE in uniform norm in [0,t] with an error less than epsilon with probability one. The technique, as we shall explain, takes advantage of continuity estimates, studied in the theory of rough paths, of the Ito-Lyons map defining the underlying the SDE . (This presentation is based on joint work with Xinyun Chen and Jing Dong.)

This talk is part of the Isaac Newton Institute Seminar Series series.

Tell a friend about this talk:

This talk is included in these lists:

Note that ex-directory lists are not shown.

 

© 2006-2020 Talks.cam, University of Cambridge. Contact Us | Help and Documentation | Privacy and Publicity