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Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model.
Maya Briani
Lucia Caramellino
Giulia Terenzi
Published in:
SIAM J. Numer. Anal. (2021)
Keyphrases
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markov chain
convergence rate
markov model
transition probabilities
statistical model
markov process
probabilistic model
probability distribution
stochastic process
markov processes
parameter estimation
steady state
random fields
monte carlo method