Approximation of Stochastic Volterra Equations with kernels of completely monotone type

DOI10.1090/mcom/3911arXiv2102.13505OpenAlexW3135707115MaRDI QIDQ6140843

Ahmed Kebaier, Aurélien Alfonsi

Publication date: 2 January 2024

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.13505

zbMATH Keywords

stochastic Volterra equationEuler schemefractional kernelstrong errorrough volatility models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Volterra integral equations (45D05)

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