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Entries for this week: 6
Monday March 25, 2019

Analysis & PDE
Time: 2:30-3:30 Room: 104 LOV

Wednesday March 27, 2019

Departmental Tea Time
C is for cookie, and shorthand for C[0,1] w/the sup norm
Time: 3: Room: 204 LOV

Biomathematics Seminar
    - Carolyn Eady, FSU
Time: 3:35 pm Room: LOV 200

Biomathematics Journals
Error and Attack Tolerance of Complex Networks
    - Richard Bertram, FSU
Time: 5:00 Room: Dirac Library

Thursday March 28, 2019

Financial Mathematics Seminar
Monte Carlo estimation for multivariate jump-diffusions
    - Alex Shkolnik, UCSB
Time: 3:35pm Room: Lov 201
Abstract/Desc: Techniques for the simulation of stochastic differential equations have attracted a significant amount of interest in the Monte Carlo methods and applied probability communities. But, while there have been recent breakthroughs on generic algorithms for multivariate diffusions, extensions of these simulation schemes to state-dependent jumps present unique challenges. We discuss some recent results on biased and unbiased simulation of multivariate jump-diffusions with general drift, volatility and jump-intensity coefficients. We illustrate how certain point process martingales that induce changes of probability measure can facilitate the analysis of jumps for both biased and unbiased schemes. We present the first (to our knowledge) unbiased simulation algorithm for a multivariate jump-diffusion with general coefficients. Preliminary numerical results with application to mathematical finance are discussed.

Friday March 29, 2019

Colloquium Tea
Time: 3:00 pm Room: 204 LOV


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