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Title:

Simulation of stochastic Volterra equations driven by space-time Lévy noise.

Document type:
Buchbeitrag
Author(s):
Chen, B., Chong, C., and Klüppelberg, C.
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
DOI:
doi:10.1007/978-3-319-25826-3_10
WWW:
Springer
Semester:
WS 15-16
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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