Optimal strong convergence rate of a backward Euler type scheme for the Cox–Ingersoll–Ross model driven by fractional Brownian motion
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DOI: 10.1016/j.spa.2019.07.014
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Cited by:
- Gao, Xiangyu & Wang, Jianqiao & Wang, Yanxia & Yang, Hongfu, 2022. "The truncated Euler–Maruyama method for CIR model driven by fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 189(C).
- Huang, Chuying & Wang, Xu, 2023. "Strong convergence rate of the Euler scheme for SDEs driven by additive rough fractional noises," Statistics & Probability Letters, Elsevier, vol. 194(C).
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Keywords
Cox–Ingersoll–Ross model; Fractional Brownian motion; Backward Euler scheme; Optimal strong convergence rate; Malliavin calculus;All these keywords.
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