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Numerical simulation of statistical behavior for fractional Cox-Ingersoll-Ross process - MaRDI portal

Numerical simulation of statistical behavior for fractional Cox-Ingersoll-Ross process

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Publication:6585928

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DOI10.3969/j.issn.1001-4268.2024.01.001MaRDI QIDQ6585928

Xiao-Peng Chen, Bo Wen Liu, Jing Zhang

Publication date: 12 August 2024

Published in: Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

fractional stochastic differential equation Brownian motion CIR process EM method OU process

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09)

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