We consider the discretization in time of a system of parabolic stochastic partial differential equations with slow and fast components; the fast equation is driven by an additive space-time white ...

In typical stochastic volatility models, the process driving the volatility of the asset price evolves according to an autonomous one- dimensional stochastic differential equation (SDE). We assume ...

A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved using the martingale problem framework.

This is a preview. Log in through your library . Abstract We consider a discretization of Caputo derivatives resulted from deconvolving a scheme for the corresponding Volterra integral. Properties of ...