Approximation of Stochastic Volterra Equations with kernels of completely monotone type
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Publication:6140843
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
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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