Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range (Q1684814): Difference between revisions

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Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range
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    Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range (English)
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    12 December 2017
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    Cox-Ingersoll-Ross process
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    squared Bessel process
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    square root diffusion coefficient
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    strong approximation
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    Milstein-type scheme
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