Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump (Q2379076): Difference between revisions
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Revision as of 07:57, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump |
scientific article |
Statements
Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump (English)
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14 January 2009
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CIR model
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compensated Poisson process
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Euler-Maruyama
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SV model
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SVCJ model
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