A wavelet method for stochastic Volterra integral equations and its application to general stock model
From MaRDI portal
Publication:4625348
Numerical methods for wavelets (65T60) Brownian motion (60J65) Numerical methods for integral equations (65R20) Volterra integral equations (45D05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)
Recommendations
- Non-uniform Haar wavelets method for solving linear stochastic Ito-Volterra integral equations
- A Haar wavelet method for linear and nonlinear stochastic Itô–Volterra integral equation driven by a fractional Brownian motion
- Numerical solution of nonlinear stochastic Itô-Volterra integral equations based on Haar wavelets
- scientific article; zbMATH DE number 6847559
- Numerical solution of stochastic nonlinear Volterra integral equations by a stochastic operational matrix based on Haar wavelets
Cited in
(6)- Haar wavelet-based valuation method for pricing European options
- Double weakly singular kernels in stochastic Volterra integral equations with application to the rough Heston model
- A two-parameter Milstein method for stochastic Volterra integral equations
- Improved \(\vartheta\)-methods for stochastic Volterra integral equations
- Singular stochastic Volterra integral equations with Mittag–Leffler kernels: well-posedness and strong convergence of θ-Maruyama method
- Wavelet-\(L_2 E\) stochastic volatility models: an application to the water-energy nexus
This page was built for publication: A wavelet method for stochastic Volterra integral equations and its application to general stock model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4625348)
