The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions (Q2271413)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions |
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The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions (English)
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7 August 2009
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First, existence of unique, nonnegative solutions of a modified Cox-Ingersoll-Ross model (a one-dimensional stochastic differential equation with delay in the diffusion term) is proven. Second, strong convergence of its Euler-Maruyama approximate solutions is verified.
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stochastic delay differential equation
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strong convergence
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Euler-Maruyama method
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nonnegative solutions
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stochastic interest rates
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Cox-Ingersoll-Ross model
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