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Document type:
Buchbeitrag 
Author(s):
Chen, B., Chong, C., and Klüppelberg, C. 
Title:
Simulation of stochastic Volterra equations driven by space-time Lévy noise. 
Pages contribution:
209-229 
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...    »
 
Keywords:
Simulation of SPDEs; Simulation of stochastic Volterra equations; Space-time Lévy noise; Stochastic heat equation; Stochastic partial differential equation 
Dewey Decimal Classification:
510 Mathematik 
Editor:
Podolskij, M., Stolzer, R., Thorbjørnsen, S., and Veraart, A.E.D. 
Book title:
The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen 
Publisher:
Springer 
Publisher address:
Berlin 
Date of publication:
06.01.2016 
Year:
2016 
Quarter:
1. Quartal 
Year / month:
2016-01 
Month:
Jan 
Pages:
209-229 
Print-ISBN:
978-3-319-25824-9 
E-ISBN:
978-3-319-25826-3 
Reviewed:
ja 
Language:
en 
WWW:
Semester:
WS 15-16 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text