Fast hybrid schemes for fractional Riccati equations (rough is not so tough)
Year of publication: |
2021
|
---|---|
Authors: | Callegaro, Giorgia ; Grasselli, Martino ; Pagès, Gilles |
Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 46.2021, 1, p. 221-254
|
Subject: | fractional Brownian motion | fractional Riccati equation | power series representation | Theorie | Theory | Stochastischer Prozess | Stochastic process |
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