Hey, You Kids! Turn Up That Noise...
October 18, 2007
Bailey Hall 201
Refreshmens will be served in Bailey 204 at 3:45
In some physical and economic systems noise can play a dominant role in the transient behavior of the system. Often times mathematical theories have been developed for the underlying distributions of the solutions for the systems but little theory is available for the transient solutions which is often the primary interest of the scientist/engineer/economist. Compounding this problem the methods used for the numerical treatment of noise are not well developed and are most often focused on additive noise. We discuss some of the background and motivation of the development of mathematical models of noise. We then examine a numerical scheme to approximate proportional noise in stochastic differential equations. Finally, the statistical properties of the numerical approximations of a simple model are examined.
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