most citedDiscrete-time Simulation of Stochastic Volterra Equations

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math.NA2020★ 2 cited

Discrete-time Simulation of Stochastic Volterra Equations

Alexandre Richard, Xiaolu Tan, Fan Yang

We study discrete-time simulation schemes for stochastic Volterra equations, namely the Euler and Milstein schemes, and the corresponding Multi-Level Monte-Carlo method. By using a…