Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process

DOI10.1016/j.spa.2018.03.008zbMath1404.60097OpenAlexW2769560427MaRDI QIDQ1713467

Clément Rey

Publication date: 25 January 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2018.03.008

zbMATH Keywords

Markov semigroupsCIR process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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