Display Abstract
Title Approximations of stochastic differential equations by difference equations based on weakly dependent random vectors
Name Hiroshi Takahashi
Country Japan
Email takahashi_hs@penta.ge.cst.nihon-u.ac.jp
Co-Author(s) Shuya Kanagawa and Ken-ichi Yoshihara
Submit Time 2014-02-27 03:15:57
Session
Special Session 129: Qualitative and Quantitative Techniques for Differential Equations arising in Economics, Finance and Natural Sciences
Contents
In this talk, we present approximations of stochastic differential equations based on some weakly dependent sequences of random vectors. For stationary mixing sequences, many studies of strong Wiener approximation have been studied, and this method corresponds to Ito formula. In this direction, our method is an extension of the previous studies. We also discuss some applications to the Feynman-Kac representation and time series models related to mathematical finance.
Go Back