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