SIMPLE SIMULATION SCHEMES FOR CIR AND WISHART PROCESSES (Q5411741)
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scientific article; zbMATH DE number 6288159
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SIMPLE SIMULATION SCHEMES FOR CIR AND WISHART PROCESSES |
scientific article; zbMATH DE number 6288159 |
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SIMPLE SIMULATION SCHEMES FOR CIR AND WISHART PROCESSES (English)
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25 April 2014
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stochastic simulation
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composition rules
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Wishart processes
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CIR model
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matrix-valued Ornstein-Uhlenbeck processes
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