Proves that the true solution of a highly nonlinear delayed stochastic interest rate model converges in probability to its truncated Euler-Maruyama approximation as the step size tends to zero.
and Sanders, A.B.: An empirical com- parison of alternative models of the short-term interest rate
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.PR 1years
2025 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Convergence in probability of numerical solutions of a highly non-linear delayed stochastic interest rate model
Proves that the true solution of a highly nonlinear delayed stochastic interest rate model converges in probability to its truncated Euler-Maruyama approximation as the step size tends to zero.