The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion

DOI10.1016/J.SPL.2022.109573zbMATH Open1498.60287OpenAlexW4282947409MaRDI QIDQ2170237FDOQ2170237

Yanxia Wang, Hongfu Yang, Xiang-Yu Gao, Jianqiao Wang

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

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zbMATH Keywords

Malliavin calculusfractional Brownian motionCIR modelexplicit schemestrong convergence rate

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) 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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Cited In (1)

• Interest rate derivatives for the fractional Cox-Ingersoll-Ross model

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