An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients (Q2953948)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients |
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An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients (English)
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11 January 2017
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stochastic differential equations
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non-Lipschitz coefficients
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explicit Euler-Maruyama scheme
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projection
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CIR model
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Ait-Sahalia model
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multilevel Monte Carlo method
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