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Thesis

Numerical methods for approximating solutions to rough differential equations

Abstract:

The main motivation behind writing this thesis was to construct numerical methods to approximate solutions to differential equations driven by rough paths, where the solution is considered in the rough path-sense. Rough paths of inhomogeneous degree of smoothness as driving noise are considered. We also aimed to find applications of these numerical methods to stochastic differential equations.

After sketching the core ideas of the Rough Paths Theory in Chapter 1, the versions of th...

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Institution:
University of Oxford
Research group:
Mathematical and Computational Finance
Oxford college:
St Hugh's College
Department:
Mathematical,Physical & Life Sciences Division - Mathematical Institute
Role:
Author

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Role:
Supervisor
Publication date:
2008
Type of award:
DPhil
Level of award:
Doctoral
URN:
uuid:d977be17-76c6-46d6-8691-6d3b7bd51f7a
Local pid:
ora:8994

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