Double weakly singular kernels in stochastic Volterra integral equations with application to the rough Heston model
From MaRDI portal
Publication:6570975
Recommendations
- Numerical methods for stochastic Volterra integral equations with weakly singular kernels
- Stochastic fractional integro-differential equations with weakly singular kernels: well-posedness and Euler-Maruyama approximation
- Stochastic Volterra integral equations with doubly singular kernels and their numerical solutions
- Singular stochastic Volterra integral equations with Mittag–Leffler kernels: well-posedness and strong convergence of θ-Maruyama method
Cites work
- scientific article; zbMATH DE number 3690402 (Why is no real title available?)
- scientific article; zbMATH DE number 3707527 (Why is no real title available?)
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- A fractional version of the recursive tau method for solving a general class of Abel-Volterra integral equations systems
- A new tau-collocation method with fractional basis for solving weakly singular delay Volterra integro-differential equations
- A wavelet method for stochastic Volterra integral equations and its application to general stock model
- An iterative technique for the numerical solution of nonlinear stochastic Itô-Volterra integral equations
- Asymptotic separation for stochastic Volterra integral equations with doubly singular kernels
- Convergence analysis of an iterative numerical algorithm for solving nonlinear stochastic Itô-Volterra integral equations with \(m\)-dimensional Brownian motion
- Discrete fractional differences with nonsingular discrete Mittag-Leffler kernels
- Euler polynomial solutions of nonlinear stochastic Itô-Volterra integral equations
- Euler schemes and large deviations for stochastic Volterra equations with singular kernels
- Existence and uniqueness of solutions to stochastic Volterra equations with singular kernels and non-Lipschitz coefficients
- Exponential mean-square stability of numerical solutions for stochastic delay integro-differential equations with Poisson jump
- Exponential utility maximization for an insurer with time-inconsistent preferences
- Fast Evaluation of the Caputo Fractional Derivative and its Applications to Fractional Diffusion Equations
- Fast evaluation of the Caputo fractional derivative and its applications to fractional diffusion equations: a second-order scheme
- Improved \(\vartheta\)-methods for stochastic Volterra integral equations
- Lévy-driven stochastic Volterra integral equations with doubly singular kernels: existence, uniqueness, and a fast EM method
- Malliavin calculus and optimal control of stochastic Volterra equations
- Mean-square stability and convergence of a split-step theta method for stochastic Volterra integral equations
- Mittag-Leffler functions, related topics and applications
- Numerical methods for stochastic Volterra integral equations with weakly singular kernels
- On solutions of a stochastic integral equation of the volterra type with applications for chemotherapy
- Perfect hedging in rough Heston models
- Preserving asymptotic mean-square stability of stochastic theta scheme for systems of stochastic delay differential equations
- Random integral equations with applications to life sciences and engineering
- Recursive higher order fuzzy transform method for numerical solution of Volterra integral equation with singular and nonsingular kernels
- Split-step collocation methods for stochastic Volterra integral equations
- Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations
- Stochastic fractional integro-differential equations with weakly singular kernels: well-posedness and Euler-Maruyama approximation
- Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations
- Theoretical and numerical analysis of the Euler-Maruyama method for generalized stochastic Volterra integro-differential equations
- Two reliable methods for solving the Volterra integral equation with a weakly singular kernel
- Weakly singular Gronwall inequalities and applications to fractional differential equations
This page was built for publication: Double weakly singular kernels in stochastic Volterra integral equations with application to the rough Heston model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6570975)