An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process

DOI10.1098/rspa.2011.0505zbMath1364.65013OpenAlexW2115906242MaRDI QIDQ5345939

Steffen Dereich, Andreas Neuenkirch, Lukasz Szpruch

Publication date: 7 June 2017

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rspa.2011.0505

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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