Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations
DOI10.3150/14-BEJ675zbMath1342.60112arXiv1602.02907OpenAlexW2099936166MaRDI QIDQ265269
Heidar Eyjolfsson, Fred Espen Benth
Publication date: 1 April 2016
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1602.02907
finite difference schemehyperbolic stochastic partial differential equationssemistationary Lévy processesvolatility modulated Volterra processes
Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites Work
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