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- W2039776507 abstract "An efficient and fast algorithm, which is based on the splitting‐step idea, for simulations of mean‐reverting square‐root diffusions is presented in this paper. The local path wise error of this algorithm is considered, and an estimate of local error in the 2nd moment is proved. A series of numerical experiments based on MATLAB programs is given to compare the suggested algorithm with the present schemes: the BIM scheme and the BMM scheme." @default.
- W2039776507 created "2016-06-24" @default.
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- W2039776507 date "2010-01-01" @default.
- W2039776507 modified "2023-10-10" @default.
- W2039776507 title "An Efficient and Fast Algorithm for Simulations of Mean-Reverting Square-root Diffusions" @default.
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- W2039776507 doi "https://doi.org/10.1063/1.3452280" @default.
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