Weak error rates for numerical schemes of nonsingular stochastic Volterra equations with application to stochastic volatility models (Q7019351)
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scientific article; zbMATH DE number 7995657
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| English | Weak error rates for numerical schemes of nonsingular stochastic Volterra equations with application to stochastic volatility models |
scientific article; zbMATH DE number 7995657 |
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Weak error rates for numerical schemes of nonsingular stochastic Volterra equations with application to stochastic volatility models (English)
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5 March 2025
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stochastic Volterra equation
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rough volatility
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Euler-Maruyama scheme
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weak error rate
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