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Cubature Method for Stochastic Volterra Integral Equations
Work
Year: 2023
Type: article
Abstract: In this paper, we introduce the cubature formula for stochastic Volterra integral equations. We first derive the stochastic Taylor expansion in this setting, by utilizing a functional Itô formula, and... more
Source: SIAM Journal on Financial Mathematics
Authors Qi Feng, Jianfeng Zhang
Institutions Florida State University, University of Southern California
Cites: 46
Cited by: 1
Related to: 10
FWCI: 0.491
Citation percentile (by year/subfield): 57.88
Topic: Stochastic processes and financial applications
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Open Access status: green
Funders National Science Foundation, National Science Foundation
Grant IDS DMS-2205972, DMS-1908665