A Collocation Method for Nonlinear Stochastic Differential Equations Driven by Fractional Brownian Motion and its Application to Mathematical Finance
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DOI: 10.1007/s11009-024-10087-w
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- Singh, P.K. & Saha Ray, S., 2023. "An efficient numerical method based on Lucas polynomials to solve multi-dimensional stochastic Itô-Volterra integral equations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 203(C), pages 826-845.
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Keywords
Barycentric rational interpolation function; Barycentric lagrange interpolation function; Collocation method; Fractional Brownian motion; Nonlinear stochastic differential equation; Convergence analysis;All these keywords.
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