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Convergence of the Euler–Maruyama method for CIR model with Markovian switching
Journal article
Zhang, Zhenzhong, Zhou, Tiandao, Jin, Xinghu, Tong, Jinying. Convergence of the Euler–Maruyama method for CIR model with Markovian switching[J]. MATHEMATICS AND COMPUTERS IN SIMULATION, 2020, 177, 192-210.
Authors:
Zhang, Zhenzhong
;
Zhou, Tiandao
;
Jin, Xinghu
;
Tong, Jinying
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TC[WOS]:
2
TC[Scopus]:
2
IF:
4.4
/
3.6
|
Submit date：2021/12/06
Hölder Continuous
Markovian Switching
Parameter Estimation
Quadratic Variation
Rate Of Convergence
