Curtin University Homepage
  • Library
  • Help
    • Admin

    espace - Curtin’s institutional repository

    JavaScript is disabled for your browser. Some features of this site may not work without it.
    View Item 
    • espace Home
    • espace
    • Curtin Theses
    • View Item
    • espace Home
    • espace
    • Curtin Theses
    • View Item

    Computational methods for various stochastic differential equation models in finance

    213669_Zhou 2014.pdf (696.3Kb)
    Access Status
    Open access
    Authors
    Zhou, Yanli
    Date
    2014
    Supervisor
    Prof. Kok Lay Teo
    Assoc. Prof. Nikolai Dokuchaev
    Prof. Yonghong Wu
    Type
    Thesis
    Award
    PhD
    
    Metadata
    Show full item record
    School
    Department of Mathematics and Statistics
    URI
    http://hdl.handle.net/20.500.11937/247
    Collection
    • Curtin Theses
    Abstract

    This study develops efficient numerical methods for solving jumpdiffusion stochastic delay differential equations and stochastic differential equations with fractional order. In addition, two novel algorithms are developed for the estimation of parameters in the stochastic models. One of the algorithms is based on the implementation of the Bayesian inference and the Markov Chain Monte Carlo method, while the other one is developed by using an implicit numerical scheme integrated with the particle swarm optimization.

    Related items

    Showing items related by title, author, creator and subject.

    • A study of optimization problems involving stochastic systems with jumps
      Liu, Chunmin (2008)
      The optimization problems involving stochastic systems are often encountered in financial systems, networks design and routing, supply-chain management, actuarial science, telecommunications systems, statistical pattern ...
    • Design exploration with stochastic models of variation: Comparing two examples from facade subdivision
      Datta, Sambit (2013)
      The imitation of natural processes in architectural design is a long-standing area of research in computational design. The approach of “directed randomness” permits the stochastic exploration of a vast space of design ...
    • Empirical investigation of a Stochastic model based on intensity values for terrestrial laser scanning
      Lambertus, T.; Belton, David; Helmholz, Petra (2018)
      Stochastic information of measurements has always been an important part in the field of geodesy. Especially for engineering tasks like deformation monitoring the knowledge of achieved precision is of vital importance. ...
    Advanced search

    Browse

    Communities & CollectionsIssue DateAuthorTitleSubjectDocument TypeThis CollectionIssue DateAuthorTitleSubjectDocument Type

    My Account

    Admin

    Statistics

    Most Popular ItemsStatistics by CountryMost Popular Authors

    Follow Curtin

    • 
    • 
    • 
    • 
    • 

    CRICOS Provider Code: 00301JABN: 99 143 842 569TEQSA: PRV12158

    Copyright | Disclaimer | Privacy statement | Accessibility

    Curtin would like to pay respect to the Aboriginal and Torres Strait Islander members of our community by acknowledging the traditional owners of the land on which the Perth campus is located, the Whadjuk people of the Nyungar Nation; and on our Kalgoorlie campus, the Wongutha people of the North-Eastern Goldfields.