Apr 2020-Mar 2021

Math-Fi seminar on 18 Feb.

2021.02.18 Thu up
  • Date: 18 Feb. (Thu.)
  • Place: On the Web
  • Time: 16:30  - 18:00
  • Speaker: Libo Li (University of New South Wales)
  • Title: Strong approximation of jump extended CIR and CEV processes and their mean-field extension
  • Abstract:
​In this talk, we discuss the strong approximation of jump extended CIR and CEV processes with alpha stable jumps and their mean-field extension. In particular, we discuss the Euler-Maruyama scheme, derivation of Positive Preserving schemes and finally for the mean-field extension, the propagation of chaos property and the corresponding Euler-Maruyama scheme for the particle system.

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