Related papers: Cubature Method for Stochastic Volterra Integral E…
The paper develops applications of symmetric orbit functions, known from irreducible representations of simple Lie groups, in numerical analysis. It is shown that these functions have remarkable properties which yield to cubature formulas,…
We study the problem of optimal control of a coupled system of forward-backward stochastic Volterra equations. We use Hida-Malliavin calculus to prove a sufficient and a necessary maximum principle for the optimal control of such systems.…
Stochastic volatility models that treat the variance of a time series as a stochastic process have proven to be important tools for analyzing dynamic variability. Current methods for fitting and conducting inference on stochastic volatility…
The solution of a (stochastic) differential equation can be locally approximated by a (stochastic) expansion. If the vector field of the differential equation is a polynomial, the corresponding expansion is a linear combination of iterated…
We introduce a Skorokhod type integral and prove an Ito formula for a wide class of Gaussian processes which may exhibit stochastic discontinuities. Our Ito formula unifies and extends the classical one for general (i.e., possibly…
We introduce the Volterra Stein-Stein model with stochastic interest rates, where both volatility and interest rates are driven by correlated Gaussian Volterra processes. This framework unifies various well-known Markovian and non-Markovian…
An efficient approximate version of implicit Taylor methods for initial-value problems of systems of ordinary differential equations (ODEs) is introduced. The approach, based on an approximate formulation of Taylor methods, produces a…
We establish pathwise continuity properties of solutions to a stochastic Volterra equation with an additive noise term given by a local martingale. The deterministic part is governed by an operator with an $H^\infty$-calculus and a scalar…
It is a widely held view that analytical integration is more accurate than the numerical one. In some special cases, however, numerical integration can be more advantageous than analytical integration. In our paper we show this benefit for…
The article is devoted to the integration order replacement technique for iterated Ito stochastic integrals and iterated stochastic integrals with respect to martingales. We consider the class of iterated Ito stochastic integrals, for which…
The purpose of this paper is to develop the anti-Gauss cubature rule for approximating integrals defined on the square whose integrand function may have algebraic singularities at the boundaries. An application of such a rule to the…
In this article we consider Bayesian parameter inference for a type of partially observed stochastic Volterra equation (SVE). SVEs are found in many areas such as physics and mathematical finance. In the latter field they can be used to…
We consider a sequence of composite bivariate Bernstein operators and the cubature formula associated with them. The upper bounds for the remainder term of the cubature formula are described in terms of moduli of continuity of order two.…
In mathematical finance, a process of calibrating stochastic volatility (SV) option pricing models to real market data involves a numerical calculation of integrals that depend on several model parameters. This optimization task consists of…
Particle methods are widely used because they can provide accurate descriptions of evolving measures. Recently it has become clear that by stepping outside the Monte Carlo paradigm these methods can be of higher order with effective and…
In this paper, we provide variation of constants formulae for linear (forward) stochastic Volterra integral equations (SVIEs, for short) and linear Type-II backward stochastic Volterra integral equations (BSVIEs, for short) in the usual…
The lifted Heston model is a stochastic volatility model emerging as a Markovian lift of the rough Heston model and the class of rough volatility processes. The model encodes the path dependency of volatility on a set of N square-root state…
We derive an Ito-type change-of-variables formula for Volterra Gaussian processes (including fractional Brownian motion with any Hurst parameter), based on the operator factorization framework. The Ito correction is expressed as a Stieltjes…
A practical and new Runge--Kutta numerical scheme for stochastic differential equations is explored. Numerical examples demonstrate the strong convergence of the method. The first order strong convergence is then proved using Ito integrals…
In the present paper we study high-order cubature formulas for the computation of advection-diffusion potentials over boxes. By using the basis functions introduced in the theory of approximate approximations, the cubature of a potential is…