The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion
DOI10.1016/j.spl.2022.109573zbMath1498.60287OpenAlexW4282947409MaRDI QIDQ2170237
Hongfu Yang, Jianqiao Wang, Yan-Xia Wang, Xiang-Yu Gao
Publication date: 30 August 2022
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2022.109573
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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