Pages that link to "Item:Q5345939"

The following pages link to An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (Q5345939):

Displaying 24 items.

• Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model (Q5346007) (← links)
• An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility (Q5351667) (← links)
• An adaptive splitting method for the Cox-Ingersoll-Ross process (Q6101788) (← links)
• Multiple-delay stochastic McKean-Vlasov equations with Hölder diffusion coefficients and their numerical schemes (Q6107316) (← links)
• (Q6121376) (← links)
• The modified truncated Euler-Maruyama method for stochastic differential equations with concave diffusion coefficients (Q6126083) (← links)
• Multilevel Monte Carlo simulation for the Heston stochastic volatility model (Q6144993) (← links)
• Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises (Q6157440) (← links)
• Multilevel Monte Carlo using approximate distributions of the CIR process (Q6157841) (← links)
• Strong approximation of Bessel processes (Q6164838) (← links)
• Strong convergence rate of implicit Euler scheme to a CIR model with delay (Q6169226) (← links)
• Mean-reverting schemes for solving the CIR model (Q6175251) (← links)
• Positivity-preserving truncated Euler-Maruyama method for generalised Ait-Sahalia-type interest model (Q6181513) (← links)
• High Order Splitting Methods for SDEs Satisfying a Commutativity Condition (Q6190295) (← links)
• Optimal investment policy for insurers under the constant elasticity of variance model with a correlated random risk process (Q6534681) (← links)
• The logarithmic truncated EM method with weaker conditions (Q6546892) (← links)
• Speeding up the Euler scheme for killed diffusions (Q6565558) (← links)
• Numerical simulation of statistical behavior for fractional Cox-Ingersoll-Ross process (Q6585928) (← links)
• Approximating inverse cumulative distribution functions to produce approximate random variables (Q6601383) (← links)
• Mean-reverting schemes for solving the CIR equation (Q6610850) (← links)
• Implicit Milstein schemes: preservation of properties when solving the CIR equation (Q6610851) (← links)
• On the complexity of strong approximation of stochastic differential equations with a non-Lipschitz drift coefficient (Q6614416) (← links)
• On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients (Q6627016) (← links)
• An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence (Q6649258) (← links)