Author:
Mickel Annalena,Neuenkirch Andreas
Publisher
Springer International Publishing
Reference29 articles.
1. Alfonsi, A.: Strong order one convergence of a drift implicit Euler scheme: application to the CIR process. Stat. Probab. Lett. 83, 602–607 (2013)
2. Cambanis, S., Hu, Y.: Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design. Stochastics Rep. 59, 211–240 (1996)
3. Castell, F., Gaines, J.: The ordinary differential equation approach to asymptotically efficient schemes for solution of stochastic differential equations. Ann. Inst. Henri Poincaré, Probab. Stat. 32, 231–250 (1996)
4. Clark, J., Cameron, R.: The maximum rate of convergence of discrete approximations for stochastic differential equations. In: Grigelionis, B. (eds.), Stochastic Differential Systems (Proc. IFIP-WG 7/1 Working Conf., Vilnius, 1978) Lecture Notes in Control and Information Sci. vol. 25, pp. 162–171. Springer, Berlin, Heidelberg (1980)
5. Dereich, S., Neuenkirch, A., Szpruch, L.: An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process. Proc. R. Soc. A. 468, 1105–1115 (2012)