Siegel der Universität Augsburg

Universität Augsburg
Institut für Mathematik

 Siegel der Universität Augsburg

 

Oberseminar zu Differentialgleichungen

 

Professor Dr. Minoo Kamrani
Razi University
 
spricht am
 
Mittwoch, 24. Juli 2019
 
um
 
14:00 Uhr
 
im
 
Raum 3008 (L1)
 
über das Thema:
 

»Numerical solution of the Cox--Ingersoll--Ross model driven by fractional Brownian motion with Hurst parameter.«

Abstract:
In this talk, we investigate the strong convergence rate of a numerical approximation for the Cox--Ingersoll--Ross model driven by fractional Brownian motion with Hurst parameter. The proposed method is based on backward Euler scheme. This scheme has an explicit expression which inherits the positivity of the exact solution. The boundedness of the inverse moments of the numerical solution is also obtained.

 

Hierzu ergeht herzliche Einladung.
Prof. Dr. Dirk Blömker


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