An explicit and positivity preserving numerical scheme for the mean reverting CEV model (Q495866): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+H35
@@ Property / Mathematics Subject Classification ID: 60H35 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H10
@@ Property / Mathematics Subject Classification ID: 60H10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+C30
@@ Property / Mathematics Subject Classification ID: 65C30 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6482437
@@ Property / zbMATH DE Number: 6482437 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+mean reverting CEV model
@@ Property / zbMATH Keywords: mean reverting CEV model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic differential equation
@@ Property / zbMATH Keywords: stochastic differential equation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+explicit numerical scheme
@@ Property / zbMATH Keywords: explicit numerical scheme / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+positivity preservation
@@ Property / zbMATH Keywords: positivity preservation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+order of convergence
@@ Property / zbMATH Keywords: order of convergence / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W1788662616
@@ Property / OpenAlex ID: W1788662616 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.03434
@@ Property / arXiv ID: 1501.03434 / rank @@
+Normal rank
@@ Property / cites work @@
+Strong order one convergence of a drift implicit Euler scheme: application to the CIR process
+Normal rank
@@ Property / cites work @@
+Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
+Normal rank
@@ Property / cites work @@
+A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
+Normal rank
@@ Property / cites work @@
+Semi-discrete approximations for stochastic differential equations and applications
+Normal rank
@@ Property / cites work @@
+Construction of positivity preserving numerical schemes for some multidimensional stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A novel approach to construct numerical methods for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3530675
@@ Property / cites work: Q3530675 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4000235
@@ Property / cites work: Q4000235 / rank @@
+Normal rank
@@ Property / cites work @@
+On the uniqueness of solutions of stochastic differential equations
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:495866