Simulation of stochastic Volterra equations driven by space--time L\'evy noise

Bohan Chen; Carsten Chong; Claudia Klüppelberg

doi:10.1007/978-3-319-25826-3_10

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arXiv · 1501.01645

Simulation of stochastic Volterra equations driven by space--time L\'evy noise

Bohan Chen·Carsten Chong·Claudia Klüppelberg

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Abstract

In this paper we investigate two numerical schemes for the simulation of stochastic Volterra equations driven by space--time L\'evy noise of pure-jump type. The first one is based on truncating the small jumps of the noise, while the second one relies on series representation techniques for infinitely divisible random variables. Under reasonable assumptions, we prove for both methods $L^p$- and almost sure convergence of the approximations to the true solution of the Volterra equation. We give explicit convergence rates in terms of the Volterra kernel and the characteristics of the noise. A simulation study visualizes the most important path properties of the investigated processes.

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Bohan Chen, Carsten Chong, Claudia Klüppelberg. 2015-01-07. Simulation of stochastic Volterra equations driven by space--time L\'evy noise. https://doi.org/10.1007/978-3-319-25826-3_10

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