Coupling Approximation for the Triple Stochastic Integrals

Speaker: 

Xiling Zhang, Postdoc, Department of Applied Mathematics, Illinois Institute of Technology

Description: 

This project aims at finding a good approximation for the distribution of the iterated stochastic integrals of length 3. Iterated integrals are the building blocks for constructing higher-order numerical approximations for SDEs, especially the degenerate ones, and yet they are particularly hard (impossible) to generate in high dimensions. Different methods were developed in the past to approximate the double integrals (the Levy area), amongst which the coupling method is a relatively new approach. In this talk I will show to what extent the existing methods can be generalized to the triple integral case.

Event Topic

Mathematical Finance, Stochastic Analysis, and Machine Learning