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Thursday 23 Mar 2023Simulation of stochastic differential equations driven by a Levy process

Ian Melbourne - University of Warwick

Harrison 101 14:30-15:30

There are numerous difficulties related to simulating an SDE driven by a Levy process, and viable methods for realistic examples seem hard to find in the numerical analysis literature. This is exacerbated by the fact that in many situations the appropriate stochastic integral is of Marcus type, which is not related to Ito or Stratonovich by a simple transformation.
Here we describe an approach to simulating Marcus SDEs based on deterministic homogenisation. (Joint work with Georg Gottwald.)

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