Strong Approximation of Bessel Processes
Author:
Funder
Agence Nationale de la Recherche
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s11009-023-09981-6.pdf
Reference20 articles.
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2. Bally V, Talay D (1995) The Euler scheme for stochastic differential equations: error analysis with Malliavin calculus. Math Comput Simul 38(1–3):35–41
3. Casella B, Roberts GO (2008) Exact Monte Carlo simulation of killed diffusions. Adv Appl Probab 40(1):273–291
4. Chen N, Huang Z (2013) Localization and exact simulation of brownian motion-driven stochastic differential equations. Math Oper Res 38(3):591–616
5. Cox J, Ingersoll J, Ross S (1985) A theory of the term structure of interest rates. Econometrica 53:385–408
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