On arbitrarily slow convergence rates for strong numerical approximations of Cox–Ingersoll–Ross processes and squared Bessel processes
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/article/10.1007/s00780-018-0375-5/fulltext.html
Reference39 articles.
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3. Berkaoui, A., Bossy, M., Diop, A.: Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence. ESAIM Probab. Stat. 12, 1–11 (2008)
4. Borodin, A.N., Salminen, P.: Handbook of Brownian Motion—Facts and Formulae, 2nd edn. Birkhäuser, Basel (2002)
5. Bossy, M., Olivero, H.: Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs. Bernoulli 24, 1995–2042 (2018)
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