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Implicit Milstein Schemes: Preservation of Properties When Solving the CIR Equation

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Advances in Nonlinear Dynamics, Volume I (ICNDA 2023)

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Authors and Affiliations

  1. University of Salamanca, Department of Mathematics, Salamanca, Spain

    Angel Tocino & Samir Llamazares-Elias

Authors
  1. Angel Tocino
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  2. Samir Llamazares-Elias
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Correspondence to Angel Tocino .

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Editors and Affiliations

  1. Department of Structural and Geotechnical Engineering, Sapienza University of Rome, Roma, Roma, Italy

    Walter Lacarbonara

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Tocino, A., Llamazares-Elias, S. (2024). Implicit Milstein Schemes: Preservation of Properties When Solving the CIR Equation. In: Lacarbonara, W. (eds) Advances in Nonlinear Dynamics, Volume I. ICNDA 2023. NODYCON Conference Proceedings Series. Springer, Cham. https://doi.org/10.1007/978-3-031-50631-4_39

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