A collocation method for nonlinear stochastic differential equations driven by fractional Brownian motion and its application to mathematical finance

DOI10.1007/s11009-024-10087-wzbMath1540.65026MaRDI QIDQ6549586

Publication date: 4 June 2024

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

zbMATH Keywords

convergence analysis collocation method fractional Brownian motion nonlinear stochastic differential equation barycentric Lagrange interpolation function Barycentric rational interpolation function

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Approximation by rational functions (41A20) Numerical interpolation (65D05) Numerical solutions to stochastic differential and integral equations (65C30) Approximation by polynomials (41A10)

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