Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model (Q2359660)
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scientific article; zbMATH DE number 6734484
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| English | Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model |
scientific article; zbMATH DE number 6734484 |
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Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model (English)
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22 June 2017
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stochastic delay differential equations
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delay CIR model
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balanced implicit method
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convergence
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non-negativity
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delay Cox-Ingersoll-Ross model
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financial markets
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boundedness
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numerical examples
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0.904211699962616
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0.8078165650367737
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0.8039499521255493
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0.794092059135437
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