Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.501657
Title: Implicit numerical simulation of stochastic differential equations with jumps
Author: Chalmers, Graeme D.
Awarding Body: The University of Strathclyde
Current Institution: University of Strathclyde
Date of Award: 2008
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Abstract:
Implicit numerical methods such as the stochastic theta-method offer a practical way to approximate solutions of stochastic differential equations. The method involves a parameter, θ, which is freely chosen. In this thesis, we investigate strong convergence and linear stability, both mean-square and asymptotic, arising from the implementation of the theta-method when applied to ordinary stochastic differential equations incoroporating jumps. Such models are used in several disciplines; in particular, we note their use as models for various financial quantities such as asset prices, interest rates and volatility.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.501657  DOI: Not available
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