| EPSRC Reference: |
GR/K71677/01 |
| Title: |
STOCHASTIC CALCULUS IN AXIOM USING MODULES OF STOCHASTIC DIFFERENTIALS |
| Principal Investigator: |
Kendall, Professor W |
| Other Investigators: |
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| Department: |
Statistics |
| Organisation: |
University of Warwick |
| Scheme: |
Standard Research (Pre-FEC) |
| Starts: |
19 April 1996 |
Ends: |
18 April 1999 |
Value (£): |
16,501
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| EPSRC Research Topic Classifications: |
| Statistics & Appl. Probability |
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| EPSRC Industrial Sector Classifications: |
| Financial Services |
Information Technologies |
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Summary on Grant Application Form |
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Experience gained from previous implementations of stochastic calculus in computer algebra systems has made it clear that much would be gained by using a system with a more conceptual and mathematical basis. AXIOM is such a system. It is proposed to implement stochastic calculus formalism within AXIOM, using the language of modules of stochastic differentials and to develop this implementation by attacking various target problems.
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Key Findings |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Potential use in non-academic contexts |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Impacts |
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| Description |
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk |
| Summary |
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| Date Materialised |
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Sectors submitted by the Researcher |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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| Project URL: |
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| Further Information: |
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| Organisation Website: |
http://www.warwick.ac.uk |