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統計数学セミナー
過去の記録 ～04/18｜次回の予定｜今後の予定 04/19～
| 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10月31日(月)
11:30-12:20 数理科学研究科棟(駒場) 123号室
Nobuaki Naganuma 氏 (Osaka University)
Error analysis for approximations to one-dimensional SDEs via perturbation method
Nobuaki Naganuma 氏 (Osaka University)
Error analysis for approximations to one-dimensional SDEs via perturbation method
[ 講演概要 ]
We consider one-dimensional stochastic differential equations driven by fractional Brownian motions and adopt the Euler scheme, the Milstein type scheme and the Crank-Nicholson scheme to approximate solutions to the equations. We introduce perturbation method in order to analyze errors of the schemes. By using this method, we can express the errors in terms of directional derivatives of the solutions explicitly. We obtain asymptotic error distributions of the three schemes by combining the expression of the errors and the fourth moment theorem. This talk is based on a joint work with Prof. Shigeki Aida (Tohoku University).
We consider one-dimensional stochastic differential equations driven by fractional Brownian motions and adopt the Euler scheme, the Milstein type scheme and the Crank-Nicholson scheme to approximate solutions to the equations. We introduce perturbation method in order to analyze errors of the schemes. By using this method, we can express the errors in terms of directional derivatives of the solutions explicitly. We obtain asymptotic error distributions of the three schemes by combining the expression of the errors and the fourth moment theorem. This talk is based on a joint work with Prof. Shigeki Aida (Tohoku University).
