Approximating explicitly the mean-reverting CEV process

DOI10.1155/2015/513137zbMath1426.65008arXiv1502.03018OpenAlexW1818474552WikidataQ59114227 ScholiaQ59114227MaRDI QIDQ1657909

Nikolaos Halidias, Ioannis S. Stamatiou

Publication date: 14 August 2018

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.03018

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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