Abstract
We consider the numerical solution of one type of integro-differential equation by a probability method based on the fundamental martingale of mixed Gaussian processes. As an application, we try to simulate the estimation of ruin probability with an unknown parameter driven not by the classical Lévy process, but by the mixed fractional Brownian motion.
Citation
Chunhao Cai. Weilin Xiao. "Simulation of an integro-differential equation and application in estimation of ruin probability with mixed fractional Brownian motion." J. Integral Equations Applications 33 (1) 1 - 17, Spring 2021. https://doi.org/10.1216/jie.2021.33.1
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