Pages that link to "Item:Q5345939"
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The following pages link to An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (Q5345939):
Displaying 50 items.
- Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model (Q340805) (← links)
- A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models (Q503350) (← links)
- Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients (Q670738) (← links)
- Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump (Q724558) (← links)
- Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process (Q727912) (← links)
- First order strong approximations of scalar SDEs defined in a domain (Q740810) (← links)
- Extinction-time for stochastic population models (Q891304) (← links)
- Approximating explicitly the mean-reverting CEV process (Q1657909) (← links)
- A note on strong approximation of SDEs with smooth coefficients that have at most linearly growing derivatives (Q1664478) (← links)
- Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range (Q1684814) (← links)
- On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes (Q1711721) (← links)
- Tamed Euler-Maruyama approximation for stochastic differential equations with locally Hölder continuous diffusion coefficients (Q1726779) (← links)
- The truncated Milstein method for stochastic differential equations with commutative noise (Q1743967) (← links)
- Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations (Q2038153) (← links)
- Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient (Q2059650) (← links)
- The log-asset dynamic with Euler-Maruyama scheme under Wishart processes (Q2068271) (← links)
- Dynamics and approximation of positive solution of the stochastic SIS model affected by air pollutants (Q2086824) (← links)
- Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions (Q2088864) (← links)
- How to handle negative interest rates in a CIR framework (Q2101691) (← links)
- Semi-implicit Euler-Maruyama scheme for polynomial diffusions on the unit ball (Q2102112) (← links)
- Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition (Q2120590) (← links)
- The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model (Q2122043) (← links)
- Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation (Q2163140) (← links)
- The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion (Q2170237) (← links)
- On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients (Q2184812) (← links)
- Semi-implicit Euler-Maruyama approximation for noncolliding particle systems (Q2192737) (← links)
- On the weak convergence rate of an exponential Euler scheme for SDEs governed by coefficients with superlinear growth (Q2214250) (← links)
- On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case (Q2273199) (← links)
- Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion (Q2309581) (← links)
- Least-squares estimation for the subcritical Heston model based on continuous-time observations (Q2322027) (← links)
- Loss of regularity for Kolmogorov equations (Q2338908) (← links)
- Verhulst versus CIR (Q2355529) (← links)
- Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model (Q2359660) (← links)
- On non-polynomial lower error bounds for adaptive strong approximation of SDEs (Q2402415) (← links)
- Convergence of the deep BSDE method for FBSDEs with non-Lipschitz coefficients (Q2671654) (← links)
- Instantaneous turbulent kinetic energy modelling based on Lagrangian stochastic approach in CFD and application to wind energy (Q2672736) (← links)
- Uniform approximation of the Cox-Ingersoll-Ross process (Q2786430) (← links)
- CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL (Q2841330) (← links)
- Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients (Q2944996) (← links)
- An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients (Q2953948) (← links)
- On sub-polynomial lower error bounds for quadrature of SDEs with bounded smooth coefficients (Q2986694) (← links)
- Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations (Q4605703) (← links)
- Strong convergence and asymptotic stability of explicit numerical schemes for nonlinear stochastic differential equations (Q4956927) (← links)
- Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation (Q5001562) (← 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)
