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Seminar on Probability and Statistics
Seminar information archive ～04/19｜Next seminar｜Future seminars 04/20～
| Organizer(s) | Nakahiro Yoshida, Teppei Ogihara, Yuta Koike |
|---|
2016/06/21
13:00-15:00 Room #052 (Graduate School of Math. Sci. Bldg.)
Lorenzo Mercuri (University of Milan)
New Classes and Methods in YUIMA package
Lorenzo Mercuri (University of Milan)
New Classes and Methods in YUIMA package
[ Abstract ]
In this talk, we present three new classes recently introduced in YUIMA package.
These classes allow the user to manage three different problems:
・Construction of a multidimensional stochastic differential equation driven by a general multivariate Levy process. In particular we show how to define and then simulate a SDE driven by a multivariate Variance Gamma process.
・Definition and simulation of a functional of a general SDE.
・Definition and simulation of the integral of an object from the class yuima.model. In particular, we are able to evaluate Riemann Stieltjes integrals,deterministic integrals with random integrand and stochastic integrals.
Numerical examples are given in order to explain the new methods and classes.
In this talk, we present three new classes recently introduced in YUIMA package.
These classes allow the user to manage three different problems:
・Construction of a multidimensional stochastic differential equation driven by a general multivariate Levy process. In particular we show how to define and then simulate a SDE driven by a multivariate Variance Gamma process.
・Definition and simulation of a functional of a general SDE.
・Definition and simulation of the integral of an object from the class yuima.model. In particular, we are able to evaluate Riemann Stieltjes integrals,deterministic integrals with random integrand and stochastic integrals.
Numerical examples are given in order to explain the new methods and classes.
