Benutzer: Gast  Login
Dokumenttyp:
Buchbeitrag 
Autor(en):
Chen, B., Chong, C., and Klüppelberg, C. 
Titel:
Simulation of stochastic Volterra equations driven by space-time Lévy noise. 
Abstract:
In this paper we investigate two numerical schemes for the simulation of stochastic Volterra equations driven by space–time Lévy noise of pure-jump type. The first one is based on truncating the small jumps of the noise, while the second one relies on series representation techniques for infinitely divisible random variables. Under reasonable assumptions, we prove for both methods $L^p$- and almost sure convergence of the approximations to the true solution of the Volterra equation. We give expl...    »
 
Seitenangaben Beitrag:
209-229 
Stichworte:
Simulation of SPDEs; Simulation of stochastic Volterra equations; Space-time Lévy noise; Stochastic heat equation; Stochastic partial differential equation 
Dewey-Dezimalklassifikation:
000 Informatik, Wissen, Systeme 
Herausgeber:
Podolskij, M., Stolzer, R., Thorbjørnsen, S., and Veraart, A.E.D. 
Buchtitel:
The Fascination of Probability, Statistics and their Applications 
Verlag / Institution:
Springer 
Verlagsort:
Berlin 
Publikationsdatum:
21.01.2016 
Jahr:
2016 
Quartal:
1. Quartal 
Jahr / Monat:
2016-01 
Monat:
Jan 
Print-ISBN:
978-3-319-25824-9 
E-ISBN:
978-3-319-25826-3 
Reviewed:
ja 
Sprache:
en 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text