On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case (Q2273199)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case |
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On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case (English)
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18 September 2019
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implicit scheme
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Euler-Maruyama scheme
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alpha-CIR models
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Lévy driven SDEs
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Hölder continuous coefficients
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spectrally positive Lévy process
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