Stochastic Differential Equations: and the numerical schemes used to solve them
Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
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.
stochastic differential equations, o-Taylor expansion schemes
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:umu:diva-86799OAI: oai:DiVA.org:umu-86799DiVA: diva2:704100