{"title":"Cubature Method for Stochastic Volterra Integral Equations","authors":"Qi Feng, Jianfeng Zhang","doi":"10.1137/22m146889x","DOIUrl":null,"url":null,"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 provide its tail estimates. We then introduce the cubature measure for such equations, and construct it explicitly in some special cases, including a long memory stochastic volatility model. We shall provide the error estimate rigorously. Our numerical examples show that the cubature method is much more efficient than the Euler scheme, provided certain conditions are satisfied.","PeriodicalId":1,"journal":{"name":"Accounts of Chemical Research","volume":null,"pages":null},"PeriodicalIF":16.4000,"publicationDate":"2023-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Accounts of Chemical Research","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1137/22m146889x","RegionNum":1,"RegionCategory":"化学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"CHEMISTRY, MULTIDISCIPLINARY","Score":null,"Total":0}
引用次数: 0
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 provide its tail estimates. We then introduce the cubature measure for such equations, and construct it explicitly in some special cases, including a long memory stochastic volatility model. We shall provide the error estimate rigorously. Our numerical examples show that the cubature method is much more efficient than the Euler scheme, provided certain conditions are satisfied.
期刊介绍：
Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance.
Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.
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