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Probability Seminar

Monday, 24 February, 2014

SPEAKER:  Mr. Ernest Jum

TITLE: Weak jump-diffusion approximation of SDEs driven by Levy processes

ABSTRACT: We consider the problem of simulation of a stochastic differential equations driven by a Levy process. First, we replace the small jump part of the driving Levy process by a suitable Brownian motion,

as proposed by Asmussen and Rosinski, and obtain a jump-diffusion equation with good weak error estimates.  Next, we give jump-adapted weak numerical schemes in the spirit of Bruti and Platten. We then give some numerical simulations to illustrate our method.


Ayres Hall
Room 124
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Event Contact

Betty Morgan

Phone: 974-2463

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