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Parameter sensitivity of CIR process

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	Parameter sensitivity of CIR process
2.	Creator	Author's name, affiliation, country	Sidi Mohamed Ould Aly; Université de Marne-la-vallée; France
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	CIR process; sensitivity
3.	Subject	Subject classification	65C30 ; 62P05
4.	Description	Abstract	We study the differentiability of the CIR process with respect to its parameters. We give a stochastic representation for these derivatives in terms of the paths of V.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2013-05-15
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ecp.ejpecp.org/article/view/2035
10.	Identifier	Digital Object Identifier	10.1214/ECP.v18-2035
11.	Source	Journal/conference title; vol., no. (year)	Electronic Communications in Probability; Vol 18
12.	Language	English=en	en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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