Počet záznamů: 1
Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion
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SYSNO 0557426 Title Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion Author(s) Tubikanec, I. (AT)
Tamborrino, M. (GB)
Lánský, Petr (FGU-C) RID, ORCID
Buckwar, E. (AT)Source Title Journal of Computational and Applied Mathematics. Roč. 406, May 1 (2022). - : Elsevier Article number 113951 Document Type Článek v odborném periodiku Grant GF20-21030L GA ČR - Czech Science Foundation (CSF), CZ - Czech Republic Institutional support FGU-C - RVO:67985823 Language eng Country NL Keywords GARCH model * Feller's boundary classification * numerical splitting schemes * log-ODE method * boundary preservation * moment preservation URL https://doi.org/10.1016/j.cam.2021.113951 Permanent Link http://hdl.handle.net/11104/0331435
Počet záznamů: 1