Author:
Yi Yulian,Hu Yaozhong,Zhao Jingjun
Funder
National Natural Science Foundation of China
China Scholarship Council
Natural Sciences and Engineering Research Council of Canada
University of Alberta
Subject
Applied Mathematics,Modeling and Simulation,Numerical Analysis
Reference30 articles.
1. Structure preserving stochastic integration schemes in interest rate derivative modeling;Kahl;Appl Numer Math,2008
2. First order strong approximations of scalar SDEs defined in a domain;Neuenkirch;Numer Math,2014
3. Balanced milstein methods for ordinary SDEs;Kahl;Monte Carlo Methods Appl,2006
4. On the discretization schemes for the CIR (and bessel squared) processes;Alfonsi;Monte Carlo Methods Appl,2005
5. An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process;S;Proc R Soc Lond Ser A Math Phys Eng Sci,2012
Cited by
16 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