Workshop
Simulation of a solution of a kolmogorov-type equation for a fractional Ornstein-Uhlenbeck process
- Maximilian Büttner (Martin-Luther-Universität Halle)
Abstract
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