The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion
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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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- A new numerical scheme for the CIR process
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Cites work
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 2114382 (Why is no real title available?)
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Cited in
(4)- Numerical simulation of statistical behavior for fractional Cox-Ingersoll-Ross process
- Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process
- Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
- Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion
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