0557426 - FGÚ 2023 RIV NL eng J - Journal Article
Tubikanec, I. - Tamborrino, M. - Lánský, Petr - Buckwar, E.
Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion.
Journal of Computational and Applied Mathematics. Roč. 406, May 1 (2022), č. článku 113951. ISSN 0377-0427. E-ISSN 1879-1778
R&D Projects: GA ČR(CZ) GF20-21030L
Institutional support: RVO:67985823
Keywords : GARCH model * Feller's boundary classification * numerical splitting schemes * log-ODE method * boundary preservation * moment preservation
OECD category: Statistics and probability
Impact factor: 2.4, year: 2022 ; AIS: 0.643, rok: 2022
Method of publishing: Open access
Result website:
https://doi.org/10.1016/j.cam.2021.113951DOI: https://doi.org/10.1016/j.cam.2021.113951
Permanent Link: http://hdl.handle.net/11104/0331435