Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process (Q727912): Difference between revisions

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Property / DOI: 10.3934/dcdsb.2016101 / rank
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Property / arXiv ID: 1601.00919 / rank
 
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Latest revision as of 08:24, 9 December 2024

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Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process
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    Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process (English)
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    21 December 2016
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    Cox-Ingersoll-Ross process
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    stochastic differential equations
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    Euler schemes
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    exponential integrability
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    stochastic volatility model
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