Related papers: Cubature Method for Stochastic Volterra Integral E…
In this article we give necessary and sufficient conditions providing regularity of solutions to stochastic Volterra equations with infinite delay on a $d$-dimensional torus. The harmonic analysis techniques and stochastic integration in…
We consider convolution-type stochastic Volterra equations with additive Hilbert-valued fractional Brownian motion, $0<H<1$. We find the weak solution to this stochastic Volterra equation, and study its stochastic integral part, the…
For stochastic implicit Taylor methods that use an iterative scheme to compute their numerical solution, stochastic B--series and corresponding growth functions are constructed. From these, convergence results based on the order of the…
Many applications require multi-dimensional numerical integration, often in the form of a cubature formula. These cubature formulas are desired to be positive and exact for certain finite-dimensional function spaces (and weight functions).…
The research presented in this article provides an alternative option pricing approach for a class of rough fractional stochastic volatility models. These models are increasingly popular between academics and practitioners due to their…
In this paper, we study backward stochastic Volterra integral equations introduced in [26, 45] and extend the existence, uniqueness or comparison results for general filtration as in [31] (not only Brownian-Poisson setting). We also…
We propose a spectral collocation method, based on the generalized Jacobi wavelets along with the Gauss-Jacobi quadrature formula, for solving a class of third-kind Volterra integral equations. To do this, the interval of integration is…
An integral equation is a way to encapsulate the relationships between a function and its integrals. We develop a systematic way of describing Volterra integral equations -- specifically an algorithm that reduces any separable Volterra…
Motivated by fractional derivative models in viscoelasticity, a class of semilinear stochastic Volterra integro-differential equations, and their deterministic counterparts, are considered. A generalized exponential Euler method, named here…
We consider stochastic volatility dynamics driven by a general H\"older continuous Volterra-type noise and with unbounded drift. For these so-called SVV-models, we consider the explicit computation of quadratic hedging strategies. While the…
We propose and analyse randomized cubature formulae for the numerical integration of functions with respect to a given probability measure $\mu$ defined on a domain $\Gamma \subseteq \mathbb{R}^d$, in any dimension $d$. Each cubature…
In this paper, we formulate and investigate the notion of causal feedback strategies arising in linear-quadratic control problems for stochastic Volterra integral equations (SVIEs) with singular and non-convolution-type coefficients. We…
In recent years, stochastic effects have become increasingly relevant for describing fluid behaviour, particularly in the context of turbulence. The most important model for inviscid fluids in computational fluid dynamics are the Euler…
We obtain necessary conditions of optimality for impulsive Volterra integral equations with switching and impulsive controls, with variable impulse time-instants. The present work continues and complements our previous work on impulsive…
We present and analyze a new method for solving optimal control problems for Volterra integral equations, based on approximating the controlled Volterra integral equations by a sequence of systems of controlled ordinary differential…
Node elimination is a numerical approach to obtain cubature rules for the approximation of multivariate integrals. Beginning with a known cubature rule, nodes are selected for elimination, and a new, more efficient rule is constructed by…
We consider a method for the approximation of iterated stochastic integrals of arbitrary multiplicity $k$ $(k\in \mathbb{N})$ with respect to the infinite-dimensional $Q$-Wiener process using the mean-square approximation method of iterated…
We derive formulae for the calculation of Taylor coefficients of solutions to systems of Volterra integral equations, both linear and nonlinear, either without singularities or with singularities of Abel type and logarithmic type. We also…
We introduce and analyse a sparse spectral method for the solution of Volterra integral equations using bivariate orthogonal polynomials on a triangle domain. The sparsity of the Volterra operator on a weighted Jacobi basis is used to…
Stochastic quantization in physics has been considered to provide a path integral representation of a probability distribution for Ito processes. It has been indicated that the stochastic quantization can involve a potential term, if the…