An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients (Q2953948): Difference between revisions
From MaRDI portal
Set profile property. |
Changed an Item |
||
| Property / arXiv ID | |||
| Property / arXiv ID: 1405.3561 / rank | |||
Normal rank | |||
Revision as of 10:13, 19 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients |
scientific article |
Statements
An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients (English)
0 references
11 January 2017
0 references
stochastic differential equations
0 references
non-Lipschitz coefficients
0 references
explicit Euler-Maruyama scheme
0 references
projection
0 references
CIR model
0 references
Ait-Sahalia model
0 references
multilevel Monte Carlo method
0 references
