Uniform approximation of the Cox-Ingersoll-Ross process (Q2786430)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Uniform approximation of the Cox-Ingersoll-Ross process |
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Uniform approximation of the Cox-Ingersoll-Ross process (English)
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12 February 2016
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Cox-Ingersoll-Ross process
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Doss-Sussmann formalism
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Bessel function
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confluent hypergeometric equation
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numerical examples
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stochastic differential equation
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Brownian motion
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algorithm
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convergence
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