Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump

DOI10.1016/J.AMC.2008.09.040zbMath1151.65311OpenAlexW2053331689MaRDI QIDQ2379076

Xuerong Mao, Fuke Wu, Kan Chen

Publication date: 14 January 2009

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2008.09.040

zbMATH Keywords

CIR modelcompensated Poisson processEuler-MaruyamaSV modelSVCJ model

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Brownian motion (60J65) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (12)

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