Strong convergence rate of implicit Euler scheme to a CIR model with delay

DOI10.1016/j.apnum.2023.04.006zbMath1524.65043OpenAlexW4366265044MaRDI QIDQ6169226

Liangqing Luo, Shengrong Wang, Li Tan

Publication date: 11 July 2023

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2023.04.006

zbMATH Keywords

strong convergencedelayimplicit Euler schemeCIR model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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