Adaptive timestepping for SDEs with non-globally Lipschitz drift
<p>In this thesis, we focus on the numerical approximation of SDEs with a drift which is not globally Lipschitz, and corresponding sensitivity calculations.</p> <p>First, we propose an adaptive timestep construction for an Euler- Maruyama approximation of these SDEs over a finit...
| Hovedforfatter: | |
|---|---|
| Andre forfattere: | |
| Format: | Thesis |
| Sprog: | English |
| Udgivet: |
2019
|
| Fag: |