The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion (Q2170237)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion |
scientific article; zbMATH DE number 7578053
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion |
scientific article; zbMATH DE number 7578053 |
Statements
The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion (English)
0 references
30 August 2022
0 references
CIR model
0 references
fractional Brownian motion
0 references
explicit scheme
0 references
strong convergence rate
0 references
Malliavin calculus
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
