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...
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| Muut tekijät: | |
| Aineistotyyppi: | Opinnäyte |
| Kieli: | English |
| Julkaistu: |
2019
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| Aiheet: |