Browsing by Subject "CIR model"

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    • Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs 
      Bossy, Mireille; Olivero Quinteros, Héctor Cristian (International Statistical Institute, 2018)
      In this paper, we study the rate of convergence of a symmetrized version of the Milstein scheme applied to the solution of the one dimensional SDE X-t = x(0) + integral(t)(0) b(X-S) ds + integral(t)(0) sigma vertical ...