The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion (Q2170237): Difference between revisions
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Revision as of 19:56, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion |
scientific article |
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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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