Blar i NTNU Open på forfatter "Kleppe, Tore Selland"
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Numerical Path Integration for Lévy Driven Stochastic Differential Equations
Kleppe, Tore Selland (Master thesis, 2006)Some theory on Lévy processes and stochastic differential equations driven by Lévy processes is reviewed. Inverse Fast Fourier Transform routines are applied to compute the density of the increments of Lévy processes. We ... -
Numerical Path Integration for Lévy Driven Stochastic Differential Equations
Kleppe, Tore Selland (Master thesis, 2006)Some theory on Lévy processes and stochastic differential equations driven by Lévy processes is reviewed. Inverse Fast Fourier Transform routines are applied to compute the density of the increments of Lévy processes. We ...