Numerical simulation of statistical behavior for fractional Cox-Ingersoll-Ross process (Q6585928)
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scientific article; zbMATH DE number 7895230
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| English | Numerical simulation of statistical behavior for fractional Cox-Ingersoll-Ross process |
scientific article; zbMATH DE number 7895230 |
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Numerical simulation of statistical behavior for fractional Cox-Ingersoll-Ross process (English)
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12 August 2024
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CIR process
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OU process
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EM method
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fractional
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Brownian motion
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stochastic differential equation
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0.7846739888191223
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0.7761653661727905
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0.7718909382820129
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0.7692556381225586
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0.7589247822761536
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