Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model
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Publication:1998366
DOI10.1016/j.matcom.2020.10.024OpenAlexW3097826053MaRDI QIDQ1998366
Publication date: 6 March 2021
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2020.10.024
Stochastic analysis (60Hxx) Probabilistic methods, stochastic differential equations (65Cxx) Numerical methods for integral equations, integral transforms (65Rxx) Random integral equations (45Rxx)
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