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The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model - MaRDI portal

The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model (Q2122043)

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The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model
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    Statements

    title
    The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model (English)
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    author
    Cónall Kelly
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    Heru Maulana
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    Gabriel J. Lord
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    publication date
    5 April 2022
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    zbMATH Keywords
    Cox-Ingersoll-Ross model
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    adaptive timestepping
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    explicit Euler-Maruyama method
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    strong convergence
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    positivity
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    cites work
    Q5429735
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    Identifiers

    Mathematics Subject Classification ID
    60H10
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    60H35
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    65C30
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    91G30
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    91G60
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    zbMATH DE Number
    7503437
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    OpenAlex ID
    W4214860222
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    arXiv ID
    2002.10206
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