Discrete-time simulation of stochastic Volterra equations
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Abstract: We study discrete-time simulation schemes for stochastic Volterra equations, namely the Euler and Milstein schemes, and the corresponding Multi-Level Monte-Carlo method. By using and adapting some results from Zhang [22], together with the Garsia-Rodemich-Rumsey lemma, we obtain the convergence rates of the Euler scheme and Milstein scheme under the supremum norm. We then apply these schemes to approximate the expectation of functionals of such Volterra equations by the (Multi-Level) Monte-Carlo method, and compute their complexity.
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- Multilevel Monte Carlo Path Simulation
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Cited in
(15)- Stochastic Volterra integral equations with doubly singular kernels and their numerical solutions
- Approximation of Stochastic Volterra Equations with kernels of completely monotone type
- Quantitative particle approximation of nonlinear Fokker-Planck equations with singular kernel
- Strong error analysis of Euler methods for overdamped generalized Langevin equations with fractional noise: Nonlinear case
- Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel
- Error distribution of the Euler approximation scheme for stochastic Volterra equations
- Cubature Method for Stochastic Volterra Integral Equations
- Bayesian parameter inference for partially observed stochastic volterra equations
- Convex ordering for stochastic Volterra equations and their Euler schemes
- Simulation of stochastic Volterra equations driven by space-time Lévy noise
- A problem with discretizing Vale-Maurelli in simulation studies
- Fast Euler-Maruyama method for weakly singular stochastic Volterra integral equations with variable exponent
- Fast \(\theta\)-Maruyama scheme for stochastic Volterra integral equations of convolution type: mean-square stability and strong convergence analysis
- On the Discrete-Time Simulation of the Rough Heston Model
- A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations
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