統計数学セミナー
Seminar on Probability and Statistics |
Home : Archive [ 2003 to 04 ] [ 2004 to 05 ] [ 2005 to 06 ] [ 2006 to 07 ] [ 2007 to 08 ] [ 2008 to 09 ] [ 2009 to 10 ] [ 2010 to 11 ] [ 2011 to 12 ] [ 2012 to 13 ] [ 2013 to 14 ] [ 2014 to 15 ] [ 2015 to 16 ] |
Previous Seminar : Next Seminar |
Seminar on Probability and Statistics Tuesday June 21 2016 Tokyo 052 1:00-3:00 pm
New Classes and Methods in YUIMA package
Lorenzo Mercuri University of Milan Abstract In this talk, we present three new classes recently introduced in YUIMA
package.
These classes allow the user to manage three different problems:
• Construction of a multidimensional stochastic differential equation
driven
by a general multivariate Lévy process. In particular we show how
to define
and then simulate a SDE driven by a multivariate Variance Gamma
process.
• Definition and simulation of a functional of a general SDE.
• Definition and simulation of the integral of an object from the class
yuima.model. In particular, we are able to evaluate Riemann
Stieltjes integrals,
deterministic integrals with random integrand and stochastic integrals.
Numerical examples are given in order to explain the new methods and
classes.
|
Previous Seminar : Next Seminar | Seminar on Probability and Statistics |