Strong order one convergence of a drift implicit Euler scheme: application to the CIR process
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Publication:1950672
DOI10.1016/j.spl.2012.10.034zbMath1273.65007arXiv1206.3855OpenAlexW2591788282MaRDI QIDQ1950672
Publication date: 13 May 2013
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1206.3855
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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