On the discretization schemes for the CIR (and Bessel squared) processes

DOI10.1515/156939605777438569zbMath1100.65007OpenAlexW2254488552MaRDI QIDQ3367271

Publication date: 24 January 2006

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/156939605777438569

zbMATH Keywords

comparison of methods numerical examples Cox-Ingersoll-Ross model discretization scheme stochastic integro-differential equation Romberg method Squared Bessel process

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20) Random integral equations (45R05)

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