Strong convergence rates for Markovian representations of fractional processes
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Publication:2033871
DOI10.3934/dcdsb.2020367zbMath1462.60050arXiv1902.01471OpenAlexW3112101752MaRDI QIDQ2033871
Publication date: 18 June 2021
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1902.01471
Monte Carlo simulationnumerical discretizationfractional processesstrong convergence ratesMarkovian representationrough Bergomi model
Gaussian processes (60G15) Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Monte Carlo methods (65C05)
Related Items (3)
Cubature Method for Stochastic Volterra Integral Equations ⋮ Approximation of Stochastic Volterra Equations with kernels of completely monotone type ⋮ Deep Curve-Dependent PDEs for Affine Rough Volatility
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