An adaptive splitting method for the Cox-Ingersoll-Ross process

Author:

Kelly Cónall,Lord Gabriel J.ORCID

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics,Numerical Analysis

Reference23 articles.

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3. Strong order one convergence of a drift implicit Euler scheme: application to the CIR process;Alfonsi;Stat. Probab. Lett.,2013

4. Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence;Berkaoui;ESAIM Probab. Stat.,2008

5. An efficient discretization scheme for one dimensional sdes with a diffusion coefficient function of the form |x|α, α∈[12,1];Bossy,2004

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