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統計数学セミナー
過去の記録 ～04/19｜次回の予定｜今後の予定 04/20～
| 担当者 | 吉田朋広、荻原哲平、小池祐太 |
|---|---|
| セミナーURL | http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/ |
| 目的 | 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う. |
2016年06月21日(火)
13:00-15:00 数理科学研究科棟(駒場) 052号室
Lorenzo Mercuri 氏 (University of Milan)
New Classes and Methods in YUIMA package
Lorenzo Mercuri 氏 (University of Milan)
New Classes and Methods in YUIMA package
[ 講演概要 ]
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.
