Author:
Jentzen A.,Kloeden P. E.,Neuenkirch A.
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics
Reference25 articles.
1. Alfonsi A.: On the discretization schemes for the CIR (and Bessel squared) processes. Monte Carlo Methods Appl. 11, 355–384 (2005)
2. Allen E.: Modelling with Itô Stochastic Differential Equations. Springer, Dordrecht (2007)
3. Arnold L.: Random Dynamical Systems. Springer, Berlin (1998)
4. Bossy, M., Diop, A.: An efficient discretisation scheme for one dimensional SDEs with a diffusion coefficient function of the form |x| α , α ∈ [1/2,1). Working paper (2004)
5. Deelstra G., Delbaen F.: Convergence of discretized stochastic (interest rate) processes with stochastic drift term. Appl. Stoch. Models Data Anal. 14, 77–84 (1998)
Cited by
51 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献