A new numerical scheme for the CIR process (Q500385): Difference between revisions
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| Property / Mathematics Subject Classification ID: 60H35 / rank | |||
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| Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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| Property / Mathematics Subject Classification ID: 65C30 / rank | |||
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| Property / zbMATH DE Number: 6488362 / rank | |||
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CIR process | |||
| Property / zbMATH Keywords: CIR process / rank | |||
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explicit numerical scheme | |||
| Property / zbMATH Keywords: explicit numerical scheme / rank | |||
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positivity preservation | |||
| Property / zbMATH Keywords: positivity preservation / rank | |||
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order of convergence | |||
| Property / zbMATH Keywords: order of convergence / rank | |||
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Revision as of 00:10, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new numerical scheme for the CIR process |
scientific article |
Statements
A new numerical scheme for the CIR process (English)
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2 October 2015
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CIR process
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explicit numerical scheme
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positivity preservation
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order of convergence
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