相关论文: Efficient simulation of a new class of Volterra-ty…

We consider rough stochastic volatility models where the variance process satisfies a stochastic Volterra equation with the fractional kernel, as in the rough Bergomi and the rough Heston model. In particular, the variance process is…

We analyse a Monte Carlo particle method for the simulation of the calibrated Heston-type local stochastic volatility (H-LSV) model. The common application of a kernel estimator for a conditional expectation in the calibration condition…

The existence of strong solutions and pathwise uniqueness are established for one-dimensional stochastic Volterra equations with locally H{\"o}lder continuous diffusion coefficients and sufficiently regular kernels. Moreover, we study the…

This paper provides a Feller's test for explosions of one-dimensional continuous stochastic Volterra processes of convolution type. The study focuses on dynamics governed by nonsingular kernels, which preserve the semimartingale property of…

We introduce a novel simulation scheme, iVi (integrated Volterra implicit), for integrated Volterra square-root processes and Volterra Heston models based on the Inverse Gaussian distribution. The scheme is designed to handle $L^1$ kernels…

In this paper, our work is devoted to studying Volterra type McKean-Vlasov stochastic differential equations with singular kernels. Firstly, the well-posedness of Volterra type McKean-Vlasov stochastic differential equations are…

We introduce a novel and efficient simulation scheme for Hawkes processes on a fixed time grid, leveraging their affine Volterra structure. The key idea is to first simulate the integrated intensity and the counting process using Inverse…

A fast simulation framework for stochastic Volterra processes based on Random Fourier Features (RFF) approximation of the kernel is developed. After recalling the main properties of Volterra processes and reviewing existing numerical…

In this paper, we investigate the asymptotic distribution of the normalized error for the Mittag--Leffler Euler (MLE) method applied to a class of multidimensional fractional stochastic differential equations. These equations are…

We prove strong existence and uniqueness, and H\"older regularity, of a large class of stochastic Volterra equations, with singular kernels and non-Lipschitz diffusion coefficient. Extending Yamada-Watanabe's theorem, our proof relies on an…

In this article integro-differential Volterra equations whose convolution kernel depends on the vector variable are considered and a connection of these equations with a class of semi-Markov processes is established. The variable order…

This paper provide a comprehensive analysis of the finite and long time behavior of continuous-time non-Markovian dynamical systems, with a focus on the forward Stochastic Volterra Integral Equations(SVIEs).We investigate the properties of…

In this paper, we first establish the existence, uniqueness and H\"older continuity of the solution to stochastic Volterra integral equations with weakly singular kernels. Then, we propose a $\theta$-Euler-Maruyama scheme and a Milstein…

We consider a sequence of fractional Ornstein-Uhlenbeck processes, that are defined as solutions of a family of stochastic Volterra equations with kernel given by the Riesz derivative kernel, and leading coefficients given by a sequence of…

Reflected diffusions in polyhedral domains are commonly used as approximate models for stochastic processing networks in heavy traffic. Stationary distributions of such models give useful information on the steady state performance of the…

Our study aims to specify the asymptotic error distribution in the discretization of a stochastic Volterra equation with a fractional kernel. It is well-known that for a standard stochastic differential equation, the discretization error,…

Stochastic Volterra equations (SVEs) serve as mathematical models for the time evolutions of random systems with memory effects and irregular behaviour. We introduce neural stochastic Volterra equations as a physics-inspired architecture,…

This paper introduces a new approach to generating sample paths of unknown Markovian stochastic differential equations (SDEs) using diffusion models, a class of generative AI methods commonly employed in image and video applications. Unlike…

In this work, we develop a multifactor approximation for $d$-dimensional Stochastic Volterra Equations (SVE) with Lipschitz coefficients and kernels of completely monotone type that may be singular. First, we prove an $L^2$-estimation…

For stochastic Volterra equations driven by standard Brownian and with singular kernels $K(u)=u^{H-\frac{1}{2}}/\Gamma(H+1/2), H\in (0,1/2)$, it is known that the Milstein scheme has a convergence rate of $n^{-2H}$. In this paper, we show…