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SUMMARY:Tolerance Enforced Simulation for Stochastic Differential Equation
 s via Rough Path Analysis - Blanchet\, J (Columbia University)
DTSTART:20130816T100000Z
DTEND:20130816T104500Z
UID:TALK46665@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:Consider a stochastic differential equation (SDE) driven by Br
 ownian Motion which possesses a strong solution in the interval [0\,t]. Gi
 ven any tolerance error\, say epsilon\, defined in advance\, we explain ho
 w to simulate a piece-wise linear path which approximates the underlying S
 DE in uniform norm in [0\,t] with an error less than epsilon with probabil
 ity one.  The technique\, as we shall explain\, takes advantage of continu
 ity estimates\, studied in the theory of rough paths\, of the Ito-Lyons ma
 p defining the underlying the SDE. (This presentation is based on joint wo
 rk with Xinyun Chen and Jing Dong.)\n
LOCATION:Seminar Room 1\, Newton Institute
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