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An Efficient Numerical Scheme for Simulation of Mean-Reverting Square-Root Diffusions
Journal article
Deng DING, C. I. CHAO. An Efficient Numerical Scheme for Simulation of Mean-Reverting Square-Root Diffusions[J]. Journal of Numerical Mathematics and Stochastics, 2010, 1(1), 45-55.
Authors:
Deng DING
;
C. I. CHAO
Favorite
|
TC[WOS]:
0
TC[Scopus]:
0
|
Submit date：2019/07/09
Mean-reverting
Square-root Diffusion
Simulation
Positivity Preservation
Splitting-step Algorithm
A splitting-step algorithm for reflected stochastic differential equations in R1+
Journal article
Deng Ding, Ying Ying Zhang. A splitting-step algorithm for reflected stochastic differential equations in R1+[J]. Computers and Mathematics with Applications, 2008, 55(11), 2413-2425.
Authors:
Deng Ding
;
Ying Ying Zhang
Favorite
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TC[WOS]:
6
TC[Scopus]:
6
IF:
2.9
/
2.6
|
Submit date：2019/05/22
Euler Schemes
Matlab Programs
Milstein Schemes
Penalization Method
Reflected Stochastic Differential Equation
Splitting-step Algorithm
