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# Approximation of Stochastic Volterra Equations with kernels of completely monotone type

1 MATHRISK - Mathematical Risk Handling
UPEM - Université Paris-Est Marne-la-Vallée, ENPC - École des Ponts ParisTech, Inria de Paris
Abstract : In this work, we develop a multi-factor approximation for Stochastic Volterra Equations with Lipschitz coefficients and kernels of completely monotone type that may be singular. Our approach consists in truncating and then discretizing the integral defining the kernel, which corresponds to a classical Stochastic Differential Equation. We prove strong convergence results for this approximation. For the particular rough kernel case with Hurst parameter lying in $(0,1/2)$, we propose various discretization procedures and give their precise rates of convergence. We illustrate the efficiency of our approximation schemes with numerical tests for the rough Bergomi model.
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Pré-publication, Document de travail
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https://hal-enpc.archives-ouvertes.fr/hal-03526905
Contributeur : Aurélien Alfonsi Connectez-vous pour contacter le contributeur
Soumis le : vendredi 14 janvier 2022 - 18:08:13
Dernière modification le : mercredi 8 juin 2022 - 12:50:04

### Identifiants

• HAL Id : hal-03526905, version 1
• ARXIV : 2102.13505

### Citation

Aurélien Alfonsi, Ahmed Kebaier. Approximation of Stochastic Volterra Equations with kernels of completely monotone type. 2022. ⟨hal-03526905⟩

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