- 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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