Pages that link to "Item:Q3367271"

The following pages link to On the discretization schemes for the CIR (and Bessel squared) processes (Q3367271):

Displaying 50 items.

• Clarification and complement to ``Mean-field description and propagation of chaos in networks of Hodgkin-Huxley and Fitzhugh-Nagumo neurons'' (Q271660) (← links)
• Bidimensional random effect estimation in mixed stochastic differential model (Q300772) (← links)
• Environmental variability and mean-reverting processes (Q316916) (← links)
• Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model (Q340805) (← links)
• Valuation of the prepayment option of a perpetual corporate loan (Q370357) (← links)
• Probabilistic and deterministic algorithms for space multidimensional irregular porous media equation (Q373229) (← links)
• Weak approximation of CIR equation by discrete random variables (Q392777) (← links)
• Physically consistent simulation of mesoscale chemical kinetics: the non-negative FIS-\(\alpha\) method (Q422512) (← links)
• Ergodic approximation of the distribution of a stationary diffusion: rate of convergence (Q433906) (← links)
• Gamma expansion of the Heston stochastic volatility model (Q483714) (← links)
• A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models (Q503350) (← links)
• Implementing quasi-Monte Carlo simulations with linear transformations (Q545523) (← links)
• Approximation of the distribution of a stationary Markov process with application to option pricing (Q605850) (← links)
• Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model (Q634110) (← links)
• Participating life insurance policies: an accurate and efficient parallel software for COTS clusters (Q693200) (← links)
• A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients (Q719368) (← links)
• Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process (Q727912) (← links)
• First order strong approximations of scalar SDEs defined in a domain (Q740810) (← links)
• Weak approximation of CKLS and CEV processes by discrete random variables (Q779824) (← links)
• A second-order weak approximation of Heston model by discrete random variables (Q904337) (← links)
• Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients (Q1016225) (← links)
• On backward Kolmogorov equation related to CIR process (Q1641940) (← links)
• Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model (Q1644436) (← links)
• Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range (Q1684814) (← links)
• On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes (Q1711721) (← links)
• Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process (Q1713467) (← links)
• Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations (Q1743339) (← links)
• Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures (Q1749526) (← links)
• Pricing and hedging Asian basket options with quasi-Monte Carlo simulations (Q1945610) (← links)
• Exact and high-order discretization schemes for Wishart processes and their affine extensions (Q1950261) (← links)
• Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model (Q1998366) (← links)
• Numerical analysis of the balanced implicit method for stochastic age-dependent capital system with Poisson jumps (Q2010734) (← links)
• Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1 (Q2032212) (← links)
• Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations (Q2038153) (← links)
• Solving the Kolmogorov PDE by means of deep learning (Q2051092) (← links)
• Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient (Q2059650) (← links)
• Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion (Q2074883) (← links)
• Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions (Q2088864) (← links)
• The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model (Q2122043) (← links)
• The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion (Q2170237) (← links)
• On the weak convergence rate of an exponential Euler scheme for SDEs governed by coefficients with superlinear growth (Q2214250) (← links)
• Weak approximation of Heston model by discrete random variables (Q2228636) (← links)
• First order strong convergence of positivity preserving logarithmic Euler-Maruyama method for the stochastic SIS epidemic model (Q2235036) (← links)
• On weak approximations of CIR equation with high volatility (Q2270458) (← links)
• On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case (Q2273199) (← links)
• Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion (Q2309581) (← links)
• Least-squares estimation for the subcritical Heston model based on continuous-time observations (Q2322027) (← links)
• Verhulst versus CIR (Q2355529) (← links)
• Construction of positivity preserving numerical method for jump-diffusion option pricing models (Q2400313) (← links)
• Dynamic pricing with stochastic reference price effect (Q2422611) (← links)