Simulation of Stochastic Volterra Equations Driven by Space–Time Lévy Noise-Reference-Cited by-同舟云学术

Simulation of Stochastic Volterra Equations Driven by Space–Time Lévy Noise

Published:2015-12-27 Issue: Volume: Page:209-229
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Container-title:The Fascination of Probability, Statistics and their Applications
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Author:

Chen Bohan,Chong Carsten,Klüppelberg Claudia

Publisher

Springer International Publishing

Link

http://link.springer.com/content/pdf/10.1007/978-3-319-25826-3_10

Reference22 articles.

1. Asmussen, S., Rosiński, J.: Approximations of small jumps of Lévy processes with a view towards simulation. J. Appl. Probab. 38(2), 482–493 (2001)

2. Barndorff-Nielsen, O.E., Benth, F.E., Veraart, A.E.D.: Ambit processes and stochastic partial differential equations. In: Nunno, G.D., Øksendal, B. (eds.) Advanced Mathematical Methods for Finance, pp. 35–74. Springer, Berlin (2011)

3. Barth, A., Lang, A.: Simulation of stochastic partial differential equations using finite element methods. Stochastics 84(2–3), 217–231 (2012)

4. Chen, B.: Simulation of stochastic partial differential equations. Master’s thesis, Technische Universität München (2014). https://mediatum.ub.tum.de/node?id=1225387

5. Chong, C.: Lévy-driven Volterra equations in space–time (2014). Preprint under arXiv:1407.8092 [math.PR]

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