Discrete-time simulation of Stochastic Volterra equations
Publication in refereed journal

香港中文大學研究人員
替代計量分析
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其它資訊
摘要We study discrete-time simulation schemes for stochastic Volterra equations, namely the Euler and Milstein schemes, and the corresponding Multilevel Monte-Carlo method. By using and adapting some results from Zhang (2008), together with the Garsia–Rodemich–Rumsey lemma, we obtain the convergence rates of the Euler scheme and Milstein scheme under the supremum norm. We then apply these schemes to approximate the expectation of functionals of such Volterra equations by the (Multilevel) Monte-Carlo method, and compute their complexity. We finally provide some numerical simulation results.
出版社接受日期08.07.2021
著者Alexandre Richard, Xiaolu Tan, Fan Yang
期刊名稱Stochastic Processes and their Applications
出版年份2021
月份11
卷號141
頁次109 - 138
國際標準期刊號0304-4149
電子國際標準期刊號1879-209X
語言美式英語

上次更新時間 2021-07-12 於 00:04