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中国科学院数学与系统科学研究院机构知识库
KMS Of Academy of mathematics and systems sciences, CAS
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Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion
期刊论文
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2020, 卷号: 130, 期号: 5, 页码: 2675-2692
Authors:
Hong, Jialin
;
Huang, Chuying
;
Kamrani, Minoo
;
Wang, Xu
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Submit date：2020/06/30
Cox-Ingersoll-Ross model
Fractional Brownian motion
Backward Euler scheme
Optimal strong convergence rate
Malliavin calculus
