A collocation method for nonlinear stochastic differential equations driven by fractional Brownian motion and its application to mathematical finance

DOI10.1007/S11009-024-10087-WMaRDI QIDQ6549586zbMATH OpenFDO

Authors P. K. Singh, S. Saha Ray

Publication date 4 June 2024

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionconvergence analysiscollocation methodnonlinear stochastic differential equationbarycentric Lagrange interpolation functionBarycentric rational interpolation function

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Numerical interpolation (65D05) Approximation by polynomials (41A10) Numerical solutions to stochastic differential and integral equations (65C30) Approximation by rational functions (41A20)

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Cites work

• A Hermite-Type Collocation Method for the Solution of an Integral Equation with a Certain Weakly Singular Kernel
• A combination method for numerical solution of the nonlinear stochastic Itô-Volterra integral equation
• 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

(1)

• Numerical solution of stochastic models using spectral collocation method

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