Convergence of the Euler-Maruyama method for CIR model with Markovian switching (Q1998090)
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scientific article; zbMATH DE number 7318095
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| English | Convergence of the Euler-Maruyama method for CIR model with Markovian switching |
scientific article; zbMATH DE number 7318095 |
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Convergence of the Euler-Maruyama method for CIR model with Markovian switching (English)
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6 March 2021
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Markovian switching
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Hölder continuous
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rate of convergence
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parameter estimation
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quadratic variation
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0.837573766708374
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0.834671139717102
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0.832106351852417
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0.823576033115387
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