Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	SIAM journal on financial mathematics 2022-09, Vol.13 (3), p.1144-1190
Hauptverfasser:	Zhang, Gongqiu, Li, Lingfei
Format:	Artikel
Sprache:	eng
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

container_end_page	1190
container_issue	3
container_start_page	1144
container_title	SIAM journal on financial mathematics
container_volume	13
creator	Zhang, Gongqiu Li, Lingfei
description
doi_str_mv	10.1137/21M1440098
format	Article
fullrecord	<record><control><sourceid>crossref</sourceid><recordid>TN_cdi_crossref_primary_10_1137_21M1440098</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>10_1137_21M1440098</sourcerecordid><originalsourceid>FETCH-LOGICAL-c161t-d9e831a2149f72f8b1b59dd9c83ddd0e718a7ce4380e3c2ba807b62762ba79123</originalsourceid><addsrcrecordid>eNpNkEtLxDAcxIMouKx78RPkLFTzT7JNciz1CVu9KHoraR5sdLcpSX3st7eLgs5lfnMZhkHoFMg5ABMXFBrgnBAlD9AMFF8WXImXw398jBY5v5JJDDjlZIaeq15vdjlkHD1udHqLH7he69DjahhS_ApbPYbYYx8Tvgzev-d9aqJ1m4w_w7jG97HP2xgnqqPzPpjg-jGfoCOvN9ktfn2Onq6vHuvbYvVwc1dXq8JACWNhlZMMNAWuvKBedtAtlbXKSGatJU6A1MI4ziRxzNBOSyK6kopyQqGAsjk6--k1KeacnG-HNG1OuxZIu3-l_XuFfQNLwVUW</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype></control><display><type>article</type><title>Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients</title><source>SIAM Journals Online</source><creator>Zhang, Gongqiu ; Li, Lingfei</creator><creatorcontrib>Zhang, Gongqiu ; Li, Lingfei</creatorcontrib><identifier>ISSN: 1945-497X</identifier><identifier>EISSN: 1945-497X</identifier><identifier>DOI: 10.1137/21M1440098</identifier><language>eng</language><ispartof>SIAM journal on financial mathematics, 2022-09, Vol.13 (3), p.1144-1190</ispartof><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c161t-d9e831a2149f72f8b1b59dd9c83ddd0e718a7ce4380e3c2ba807b62762ba79123</citedby><cites>FETCH-LOGICAL-c161t-d9e831a2149f72f8b1b59dd9c83ddd0e718a7ce4380e3c2ba807b62762ba79123</cites><orcidid>0000-0002-1761-3458</orcidid></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,780,784,3184,27924,27925</link.rule.ids></links><search><creatorcontrib>Zhang, Gongqiu</creatorcontrib><creatorcontrib>Li, Lingfei</creatorcontrib><title>Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients</title><title>SIAM journal on financial mathematics</title><issn>1945-497X</issn><issn>1945-497X</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2022</creationdate><recordtype>article</recordtype><recordid>eNpNkEtLxDAcxIMouKx78RPkLFTzT7JNciz1CVu9KHoraR5sdLcpSX3st7eLgs5lfnMZhkHoFMg5ABMXFBrgnBAlD9AMFF8WXImXw398jBY5v5JJDDjlZIaeq15vdjlkHD1udHqLH7he69DjahhS_ApbPYbYYx8Tvgzev-d9aqJ1m4w_w7jG97HP2xgnqqPzPpjg-jGfoCOvN9ktfn2Onq6vHuvbYvVwc1dXq8JACWNhlZMMNAWuvKBedtAtlbXKSGatJU6A1MI4ziRxzNBOSyK6kopyQqGAsjk6--k1KeacnG-HNG1OuxZIu3-l_XuFfQNLwVUW</recordid><startdate>202209</startdate><enddate>202209</enddate><creator>Zhang, Gongqiu</creator><creator>Li, Lingfei</creator><scope>AAYXX</scope><scope>CITATION</scope><orcidid>https://orcid.org/0000-0002-1761-3458</orcidid></search><sort><creationdate>202209</creationdate><title>Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients</title><author>Zhang, Gongqiu ; Li, Lingfei</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c161t-d9e831a2149f72f8b1b59dd9c83ddd0e718a7ce4380e3c2ba807b62762ba79123</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2022</creationdate><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Zhang, Gongqiu</creatorcontrib><creatorcontrib>Li, Lingfei</creatorcontrib><collection>CrossRef</collection><jtitle>SIAM journal on financial mathematics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Zhang, Gongqiu</au><au>Li, Lingfei</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients</atitle><jtitle>SIAM journal on financial mathematics</jtitle><date>2022-09</date><risdate>2022</risdate><volume>13</volume><issue>3</issue><spage>1144</spage><epage>1190</epage><pages>1144-1190</pages><issn>1945-497X</issn><eissn>1945-497X</eissn><doi>10.1137/21M1440098</doi><tpages>47</tpages><orcidid>https://orcid.org/0000-0002-1761-3458</orcidid></addata></record>
fulltext	fulltext
identifier	ISSN: 1945-497X
ispartof	SIAM journal on financial mathematics, 2022-09, Vol.13 (3), p.1144-1190
issn	1945-497X 1945-497X
language	eng
recordid	cdi_crossref_primary_10_1137_21M1440098
source	SIAM Journals Online
title	Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients
url	https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-07T15%3A24%3A35IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-crossref&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Analysis%20of%20Markov%20Chain%20Approximation%20for%20Diffusion%20Models%20with%20Nonsmooth%20Coefficients&rft.jtitle=SIAM%20journal%20on%20financial%20mathematics&rft.au=Zhang,%20Gongqiu&rft.date=2022-09&rft.volume=13&rft.issue=3&rft.spage=1144&rft.epage=1190&rft.pages=1144-1190&rft.issn=1945-497X&rft.eissn=1945-497X&rft_id=info:doi/10.1137/21M1440098&rft_dat=%3Ccrossref%3E10_1137_21M1440098%3C/crossref%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_id=info:pmid/&rfr_iscdi=true