Optimal strong convergence rate of a backward Euler type scheme for the Cox–Ingersoll–Ross model driven by fractional Brownian motion - Concepedia

Concepedia

Publication | Open Access

Optimal strong convergence rate of a backward Euler type scheme for the Cox–Ingersoll–Ross model driven by fractional Brownian motion

DOI Full Paper Access

35

Citations

24

References

2019

Year

Jialin Hong, Chuying Huang, Minoo Kamrani, Xu Wang

Stochastic Processes and their Applications

Fractional Brownian MotionFractional-order SystemStochastic CalculusFractional StochasticsStochastic Differential EquationCox–ingersoll–ross ModelFractional Dynamic

References

	Year	Citations

Page 1