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My bibliography Save this articleA 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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References listed on IDEAS
- Wen, Xiaoxia & Huang, Jin, 2021. "A combination method for numerical solution of the nonlinear stochastic Itô-Volterra integral equation," Applied Mathematics and Computation, Elsevier, vol. 407(C).
- 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.
- Heydari, M.H. & Avazzadeh, Z. & Mahmoudi, M.R., 2019. "Chebyshev cardinal wavelets for nonlinear stochastic differential equations driven with variable-order fractional Brownian motion," Chaos, Solitons & Fractals, Elsevier, vol. 124(C), pages 105-124.
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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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