The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions

DOI10.1016/j.apnum.2009.03.004zbMath1172.65009OpenAlexW2034452444MaRDI QIDQ2271413

Xuerong Mao, Fuke Wu, Kan Chen

Publication date: 7 August 2009

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2009.03.004

zbMATH Keywords

strong convergencenonnegative solutionsCox-Ingersoll-Ross modelstochastic interest ratesstochastic delay differential equationEuler-Maruyama method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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