A collocation method for nonlinear stochastic differential equations driven by fractional Brownian motion and its application to mathematical finance (Q6549586)
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scientific article; zbMATH DE number 7859331
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| English | A collocation method for nonlinear stochastic differential equations driven by fractional Brownian motion and its application to mathematical finance |
scientific article; zbMATH DE number 7859331 |
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A collocation method for nonlinear stochastic differential equations driven by fractional Brownian motion and its application to mathematical finance (English)
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4 June 2024
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Barycentric rational interpolation function
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barycentric Lagrange interpolation function
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collocation method
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fractional Brownian motion
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nonlinear stochastic differential equation
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convergence analysis
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0.8520803451538086
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0.8080790638923645
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0.7981359958648682
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