A collocation method for nonlinear stochastic differential equations driven by fractional Brownian motion and its application to mathematical finance
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Cites work
- A combination method for numerical solution of the nonlinear stochastic Itô-Volterra integral equation
- A Hermite-Type Collocation Method for the Solution of an Integral Equation with a Certain Weakly Singular Kernel
- An efficient computational method for solving nonlinear stochastic Itô integral equations: application for stochastic problems in physics
- An efficient cubic B-spline and bicubic B-spline collocation method for numerical solutions of multidimensional nonlinear stochastic quadratic integral equations
- An efficient numerical method based on Lucas polynomials to solve multi-dimensional stochastic Itô-Volterra integral equations
- Barycentric interpolation collocation methods for solving linear and nonlinear high-dimensional Fredholm integral equations
- Barycentric rational interpolation with no poles and high rates of approximation
- Chebyshev cardinal wavelets and their application in solving nonlinear stochastic differential equations with fractional Brownian motion
- Chebyshev cardinal wavelets for nonlinear stochastic differential equations driven with variable-order fractional Brownian motion
- Euler wavelets method for solving fractional-order linear Volterra-Fredholm integro-differential equations with weakly singular kernels
- Hybrid Taylor and block-pulse functions operational matrix algorithm and its application to obtain the approximate solution of stochastic evolution equation driven by fractional Brownian motion
- Introduction to the numerical analysis of stochastic delay differential equations
- Numerical solution of integral equations by using combination of spline-collocation method and Lagrange interpolation
- Numerical solution of nonlinear stochastic Itô-Volterra integral equations driven by fractional Brownian motion
- Shifted Chebyshev spectral Galerkin method to solve stochastic Itô-Volterra integral equations driven by fractional Brownian motion appearing in mathematical physics
- Stochastic Calculus for Fractional Brownian Motion and Applications
- Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
- Wavelets method for solving nonlinear stochastic Itô-Volterra integral equations
Cited in
(4)- Numerical solution of stochastic models using spectral collocation method
- Legendre spectral-Monte Carlo method and its error analysis for nonlinear stochastic Itô-Volterra integral equation
- Fractional stochastic differential equations and degree theory: a unified perspective
- Innovative computational model for variable order fractional Brownian motion and solving stochastic differential equations
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