An inverse-Gaussian implicit scheme for integrated Volterra square-root processes is proved weakly convergent and shown numerically accurate with very few time steps, including for hyper-rough fractional kernels.
Weak existence and uniqueness for affine stochastic V olterra equations with L1 -kernels
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Simulating integrated Volterra square-root processes and Volterra Heston models via Inverse Gaussian
An inverse-Gaussian implicit scheme for integrated Volterra square-root processes is proved weakly convergent and shown numerically accurate with very few time steps, including for hyper-rough fractional kernels.