Simulation of a solution of a kolmogorov-type equation for a fractional Ornstein-Uhlenbeck process

  • Maximilian Büttner (Martin-Luther-Universität Halle)
E1 05 (Leibniz-Saal)


1. fractional Brownian motion (fBm) and an integral with respect to the fBm
2. Properties of the solution of an Ornstein-Uhlenbeck process
3. relation to partial differential equations
4. Estimation of the solution with Monte-Carlo methods
5. Introduction of Importance sampling to reduce the variance of the estimator

Katja Heid

Max Planck Institute for Mathematics in the Sciences Contact via Mail

Benjamin Gess

Max-Planck-Institut für Mathematik in den Naturwissenschaften