We calibrate the 3D jump-diffusion model against existing software that predicts energy deposition. We do this via several different approaches which either matches the output of existing software in subdomains and optimises the law of the SDE accordingly (e.g. by minimising the norm of the difference of the SDE output with the existing software in the complement of the output matched domain), or by calibrating individual analytical structures within the SDE against experimental data. We demonstrate how different approaches offer a differing level of high fidelity of the SDE output.

Project team: Jere Koskela (Newcastle), Andreas Kyprianou, Emma Horton, Chris Dean, Maria Laura