Seminar series
Date
Mon, 11 Mar 2013
Time
14:15 -
15:15
Location
Oxford-Man Institute
Speaker
SANDIE DAVIE
Organisation
University of Edinburgh
The standard Taylor series approach to the higher-order approximation of vector SDEs requires simulation of iterated stochastic integrals, which is difficult. The talk will describe an approach using methods from optimal transport theory which avoid this difficulty in the case of non-degenerate diffusions, for which one can attain arbitrarily high order pathwise approximation in the Vaserstein 2-metric, using easily generated random variables.