Simulation of an integro-differential equation and application in estimation of ruin probability with mixed fractional Brownian motion

DOI10.1216/jie.2021.33.1zbMath1504.65010arXiv1709.03418OpenAlexW3172361757MaRDI QIDQ2039768

Chunhao Cai, Wei-Lin Xiao

Publication date: 5 July 2021

Published in: Journal of Integral Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.03418

zbMATH Keywords

integro-differential equationGirsanov theoremmixed fractional Brownian motionfundamental martingaleestimation of ruin probability

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Numerical methods for integral equations (65R20) Integro-partial differential equations (45K05) Martingales with continuous parameter (60G44) Numerical solutions to stochastic differential and integral equations (65C30) Integro-partial differential equations (35R09)

Related Items

Parameter identification for mixed fractional Brownian motions with the drift parameter

Uses Software

• longmemo

Cites Work

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