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Optimal control of a perturbed sweeping process via discrete approximations
Exponential integrability properties of Euler discretization schemes for the Cox--Ingersoll--Ross process
1. | Mathematical Institute, University of Oxford, Oxford OX2 6GG, United Kingdom, United Kingdom |
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M. Hutzenthaler, A. Jentzen and M. Noll, Strong convergence rates and temporal regularity for Cox-Ingersoll-Ross processes and Bessel processes with accessible boundaries,, preprint, (). Google Scholar |
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show all references
References:
[1] |
Quantitative Finance, 13 (2013), 955-966.
doi: 10.1080/14697688.2013.769688. |
[2] |
Monte Carlo Methods and Applications, 11 (2005), 355-384.
doi: 10.1515/156939605777438569. |
[3] |
Statistics and Probability Letters, 83 (2013), 602-607.
doi: 10.1016/j.spl.2012.10.034. |
[4] |
Finance and Stochastics, 11 (2007), 29-50.
doi: 10.1007/s00780-006-0011-7. |
[5] |
ESAIM: Probability and Statistics, 12 (2008), 1-11.
doi: 10.1051/ps:2007030. |
[6] |
INRIA Research Report 5396, 2007. Google Scholar |
[7] |
Journal of Financial Economics, 83 (2007), 123-170. Google Scholar |
[8] |
Econometrica, 53 (1985), 385-407.
doi: 10.2307/1911242. |
[9] |
A. Cozma, M. Mariapragassam and C. Reisinger, Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets,, preprint, (). Google Scholar |
[10] |
Applied Stochastic Models and Data Analysis, 14 (1998), 77-84.
doi: 10.1002/(SICI)1099-0747(199803)14:1<77::AID-ASM338>3.0.CO;2-2. |
[11] |
Proceedings of the Royal Society of London A, 468 (2012), 1105-1115.
doi: 10.1098/rspa.2011.0505. |
[12] |
Operations Research, 56 (2008), 607-617.
doi: 10.1287/opre.1070.0496. |
[13] |
Springer, 2004. |
[14] |
SIAM Journal on Financial Mathematics, 2 (2011), 255-286.
doi: 10.1137/090756119. |
[15] |
Review of Financial Studies, 6 (1993), 327-343.
doi: 10.1093/rfs/6.2.327. |
[16] |
SIAM Journal on Numerical Analysis, 40 (2002), 1041-1063.
doi: 10.1137/S0036142901389530. |
[17] |
The Journal of Computational Finance, 8 (2005), 35-62.
doi: 10.21314/JCF.2005.136. |
[18] |
Proceedings of the Royal Society of London A, 467 (2011), 1563-1576.
doi: 10.1098/rspa.2010.0348. |
[19] |
M. Hutzenthaler, A. Jentzen and X. Wang, Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations,, preprint, (). Google Scholar |
[20] |
M. Hutzenthaler, A. Jentzen and M. Noll, Strong convergence rates and temporal regularity for Cox-Ingersoll-Ross processes and Bessel processes with accessible boundaries,, preprint, (). Google Scholar |
[21] |
Mem. Amer. Math. Soc., 236 (2015), v+99 pp.
doi: 10.1090/memo/1112. |
[22] |
$2^{nd}$ edition, Springer, 1991.
doi: 10.1007/978-1-4612-0949-2. |
[23] |
Applications of Mathematics (New York), 23. Springer-Verlag, Berlin, 1992.
doi: 10.1007/978-3-662-12616-5. |
[24] |
International Journal of Differential Equations, (2011), 13 pages. |
[25] |
Quantitative Finance, 10 (2010), 177-194.
doi: 10.1080/14697680802392496. |
[26] |
Numerische Mathematik, 128 (2014), 103-136.
doi: 10.1007/s00211-014-0606-4. |
[27] |
International Journal of Theoretical and Applied Finance, 17 (2014), 1450045, 30 pp.
doi: 10.1142/S0219024914500459. |
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