Manchester Applied Mathematics and Numerical Analysis Seminars

Spring 1999

May 26, 1999, 4.00 pm

Room 2.08, Owens Maths Building, Oxford Road

Pathwise solution of stochastic differential equations (SDE's)

Dr. Jessica Gaines, Department of Mathematics & Statistics, University of Edinburgh

The talk will be an overview of methods for the numerical approximation of pathwise solutions to SDE's, summarising work done by others and describing the contributions of the speaker to the area. Points of particular interest will be the generation of Levy area integrals and the use of adaptive time steps.

[Acknowledgement: This talk is organised with financial support from the Small Grant Fund of the Research and Graduate Support Unit.]

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For further info contact either Matthias Heil (, Mark Muldoon ( the seminar secretary (Tel. 0161 275 5800).

Page last modified: May 11, 1999

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