Mackevičius, Vigirdas - In: Mathematics and Computers in Simulation (MATCOM) 80 (2010) 5, pp. 959-970
We propose two new positive weak second-order approximations for the CIR equation dXt=(a−bXt)dt+σXtdBt based on splitting, at each step, the equation into the deterministic part dXt=(a−bXt)dt, which is solved exactly, and the stochastic part dXt=σXtdBt, which is approximated in...
