An adaptive splitting method for the Cox-Ingersoll-Ross process

DOI10.1016/j.apnum.2023.01.014arXiv2112.09465OpenAlexW4318018887MaRDI QIDQ6101788

Cónall Kelly, Gabriel J. Lord

Publication date: 20 June 2023

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2112.09465

zbMATH Keywords

strong convergencesplitting methodadaptive meshCox-Ingersoll-Ross modelreflecting boundarysoft zero

Mathematics Subject Classification ID

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

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