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Titel:

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

Dokumenttyp:
Buchbeitrag
Autor(en):
Chen, B., Chong, C., and Klüppelberg, C.
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:
510 Mathematik
Herausgeber:
Podolskij, M., Stolzer, R., Thorbjørnsen, S., and Veraart, A.E.D.
Buchtitel:
The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen
Verlag / Institution:
Springer
Verlagsort:
Berlin
Publikationsdatum:
06.01.2016
Jahr:
2016
Quartal:
1. Quartal
Jahr / Monat:
2016-01
Monat:
Jan
Seiten/Umfang:
209-229
Print-ISBN:
978-3-319-25824-9
E-ISBN:
978-3-319-25826-3
Reviewed:
ja
Sprache:
en
DOI:
doi:10.1007/978-3-319-25826-3_10
WWW:
Springer
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Semester:
WS 15-16
Format:
Text
 BibTeX