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Title: Exact algorithms for simulation of diffusions with discontinuous drift and robust curvature metropolis-adjusted Langevin algorithms
Author: Taylor, Katarzyna B.
ISNI:       0000 0004 5361 9763
Awarding Body: University of Warwick
Current Institution: University of Warwick
Date of Award: 2015
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In our work we propose new Exact Algorithms for simulation of diffusions with discontinuous drift and new methodology for simulating Brownian motion jointly with its local time. In the second part of the thesis we introduce Metropolis-adjusted Langevin algorithm which uses local geometry and we prove geometric ergodicity in case of benchmark distributions with light tails.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: QA Mathematics