Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Stochastic Differential Equations: and the numerical schemes used to solve them
Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
2014 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

This thesis explains the theoretical background of stochastic differential equations in one dimension. We also show how to solve such differential equations using strong It o-Taylor expansion schemes over large time grids. We also attempt to solve a problem regarding a specific approximation of a stochastic integral for which there is no explicit solution. This approximation, which utilizes the distribution of this particular stochastic integral, gives the wrong order of convergence when performing a grid convergence study. We use numerical integration of the stochastic integral as an alternative approximation, which is correct with regards to convergence.

Place, publisher, year, edition, pages
2014. , 44 p.
Keyword [en]
stochastic differential equations, o-Taylor expansion schemes
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:umu:diva-86799OAI: oai:DiVA.org:umu-86799DiVA: diva2:704100
Available from: 2014-03-26 Created: 2014-03-11 Last updated: 2014-03-26Bibliographically approved

Open Access in DiVA

fulltext(1764 kB)225 downloads
File information
File name FULLTEXT01.pdfFile size 1764 kBChecksum SHA-512
877c77d3b2e63f84f1137ff5f9873b792ca9c6d172d401ac9208e355833afec5c53e9590624c46e9095399783bf0e2d6ba827682307446c4a7a0d9fcf0f727de
Type fulltextMimetype application/pdf

By organisation
Department of Mathematics and Mathematical Statistics
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar
Total: 225 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 696 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf