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Krakow Quant Hub Seminar 16.05.2017
dodano: 11/05/2017
przez: Dariusz Zawisza |
- Speaker :Paweł Morkisz (AGH University of Science and Technology, Faculty of Applied Mathematics)
- Title : Optimal pointwise approximation of SDEs from inexact information.
- Time: May the 16th, 6 p.m. (start at 5:30 p.m. in 1122)
- Place: Department of Mathematics and Computer Science, ul. Lojasiewicza 6, Lecture Room 1094 (first floor)
- Abstract: Pointwise approximation of solutions of systems of stochastic differential equations will be presented. We assume that an approximation method can use values of the drift and diffusion coefficients which are perturbed by some deterministic noise. We also investigate lower bounds on the error of an arbitrary algorithm and establish optimality of the defined randomized Euler algorithm. Finally, we report some numerical results.
