On the Euler–Maruyama Scheme for Degenerate Stochastic Differential Equations with Non-sticky Condition
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Publication:5126527
DOI10.1007/978-3-030-28535-7_9zbMath1452.60036arXiv1902.05712OpenAlexW2911773352MaRDI QIDQ5126527
Publication date: 20 October 2020
Published in: Lecture Notes in Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1902.05712
stochastic differential equationsmathematical financeEuler-Maruyama schemeCEV modelsHölder continuous diffusion coefficientnon-sticky condition
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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