On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case (Q2273199)
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scientific article
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| English | On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case |
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On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case (English)
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18 September 2019
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implicit scheme
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Euler-Maruyama scheme
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alpha-CIR models
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Lévy driven SDEs
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Hölder continuous coefficients
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spectrally positive Lévy process
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0.8356128931045532
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0.8346280455589294
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0.8156883120536804
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0.8139200806617737
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0.793927788734436
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