Convergence of discretized stochastic (interest rate) processes with stochastic drift term
- Autor
- DEELSTRA, G1 ; DELBAEN, F2
[1] Free University of Brussels, Department of Mathematics, Pleinlaan 2, 1050 Brussels, Belgium
[2] ETH Zentrum, Department of Mathematics, 8092 Zürich, Switzerland - Fuente
Applied stochastic models and data analysis. 1998, Vol 14, Num 1, pp 77-84 ; ref : 23 ref
- ISSN
- 8755-0024
- Campo Científico
- Control theory, operational research; Computer science; Mathematics
- Editor
- Wiley, Brisbane
/
Wiley, Chichester
/
Wiley, New York, NY
- País de la publicación
- United Kingdom
- Tipo de documento
- Article
- Idioma
- English
- Palabra clave (fr)
- Analyse corrélation Convergence forte Convergence stochastique Equation différentielle Equation stochastique Fonction continue Méthode discrétisation Processus stochastique Schéma Euler Taux intérêt Zéro de fonction
- Palabra clave (in)
- Correlation analysis Strong convergence Stochastic convergence Differential equation Stochastic equation Continuous function Discretization method Stochastic process Euler scheme Interest rate Zero of function
- Palabra clave (es)
- Análisis correlación Convergencia fuerte Convergencia estocástica Ecuación diferencial Ecuación estocástica Función continua Método discretización Proceso estocástico Esquema Euler Tasa interés Cero de función
- Clasificación
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01K Special processes (renewal theory, markov renewal processes, semi-markov processes, statistical mechanics type models, applications)
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02I Multivariate analysis
- Pascal
- 001 Exact sciences and technology / 001D Applied sciences / 001D01 Operational research. Management science / 001D01A Operational research and scientific management / 001D01A10 Portfolio theory
- Disciplina
- Mathematics Operational research. Management
- Procedencia
- Inist-CNRS
- Base de datos
- PASCAL
- Identificador INIST
- 2358367
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1002/(SICI)1099-0747(199803)14:1<77::AID-ASM338>3.0.CO;2-2 
https://dx.doi.org/10.1002/(SICI)1099-0747(199803)14:1<77::AID-ASM338>3.0.CO;2-2
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