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Showing 1 to 3 of 3 for “"Euler Maruyama Scheme"”.
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On optimal error rates for strong approximation of stochastic differential equations with irregular drift coefficients
… optimality of well-known methods, such as the Euler-Maruyama scheme or a transformed Milstein scheme, for classes of piecewise Lipschitz continuous, Hölder continuous and Sobolev regular drift coefficients. To do this, we derive the optimal error rates for the different classes of irregular …
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New results in stochastic moving boundary problems
… the explicit finite difference method and the Euler-Maruyama scheme to discretize time and space respectively. We also investigate the convergence theory.
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A Stochastic Delay Model for Pricing Corporate Liabilities
<p>We suppose that the price of a firm follows a nonlinear stochastic delay differential equation. We also assume that any claim whose value depends on firm value and time follows a nonlinear stochastic delay differential equation. Using self-financed strategy and replication we are able to derive …