2 papers
math.PR2018
Strong convergence of a positive preserving drift-implicit Euler scheme for the fixed delay CIR process
Federico Flore, Giovanna Nappo
In this paper, we consider a fixed delay Cox-Ingersoll-Ross process (CIR process) on the regime where it does not hit zero, the aim is to determine a positive preserving implicit E…
math.PR2018
A Feynman-Kac type formula for a fixed delay CIR model
Federico Flore, Giovanna Nappo
Stochastic delay differential equations (SDDE's) have been used for financial modeling. In this article, we study a SDDE obtained by the equation of a CIR process, with an addition…