Numerical approximation of diffusion processes via Malliavin calculus

Mark Podolskij
(Department of Mathematics, Aarhus University)
Thiele Seminar
Thursday, 10 September, 2015, at 13:15-14:00, in Koll. D (1531-211)
Abstract:

We present a Karhunen-Loeve type expansion for solutions of continuous stochastic differential equations. In particular, this expansion provides a method of numerical approximation by truncating the infinite sum. The discussion of the error term is a non-trivial issue and we apply Malliavin calculus to get the error bound.

Organised by: The T.N. Thiele Centre
Contact person: Søren Asmussen