The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion (Q2170237): Difference between revisions

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The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion
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    The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion (English)
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    30 August 2022
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    CIR model
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    fractional Brownian motion
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    explicit scheme
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    strong convergence rate
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    Malliavin calculus
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