An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients (Q2953948): Difference between revisions

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Latest revision as of 08:28, 30 July 2024

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An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients
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    An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients (English)
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    11 January 2017
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    stochastic differential equations
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    non-Lipschitz coefficients
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    explicit Euler-Maruyama scheme
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    projection
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    CIR model
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    Ait-Sahalia model
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    multilevel Monte Carlo method
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