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20172021
most citedWeak uniqueness and density estimates for sdes with coefficients depending on some path-functionals

4 citations · 4 across the 2 of their papers we have counts for

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math.PR2018

On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case

Libo Li, Dai Taguchi

We propose a positivity preserving implicit Euler-Maruyama scheme for a jump-extended Cox-Ingersoll-Ross (CIR) process where the jumps are governed by a compensated spectrally posi…