Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation (Q2103028): Difference between revisions

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Language	Label	Description	Also known as
English	Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation	scientific article

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scholarly article

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Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation (English)

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Christian Meier

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European Journal of Operational Research

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publication date

12 December 2022

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full work available at URL

https://arxiv.org/abs/2107.04260

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zbMATH Keywords

applied probability

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multidimensional diffusions

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sticky boundary

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Markov chain approximation

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Monte Carlo simulation

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describes a project that uses

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MaRDI profile type

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Wasserstein convergence rates for random bit approximations of continuous Markov processes

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A mixed finite-element method for elliptic operators with Wentzell boundary condition

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Adaptive weak approximation of reflected and stopped diffusions

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Exact simulation of multidimensional reflected Brownian motion

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A symmetrized Euler scheme for an efficient approximation of reflected diffusions

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Sticky Brownian Motion and Its Numerical Solution

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Convergence rate of Euler scheme for time-inhomogeneous SDEs involving the local time of the unknown process

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A General Framework for Pricing Asian Options Under Markov Processes

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Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations

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A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps

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A general framework for time-changed Markov processes and applications

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Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes

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Real-time queues in heavy traffic with earliest-deadline-first queue discipline

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Stochastic Calculus

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American Option Valuation under Continuous-Time Markov Chains

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Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process

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Time inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operators

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Construction and analysis of a sticky reflected distorted Brownian motion

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The parabolic differential equations and the associated semigroups of transformation

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Weak approximation of killed diffusion using Euler schemes.

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Euler schemes and half-space approximation for the simulation of diffusion in a domain

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Stopped diffusion processes: boundary corrections and overshoot

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Simulation-based inference. A survey with special reference to panel data models

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The martingale problem with sticky reflection conditions, and a system of particles interacting at the boundary

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System of interacting particles and nonlinear diffusion reflecting in a domain with sticky boundary

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Stochastic differential equations with sticky reflection and boundary diffusion

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Sticky Brownian motion as the limit of storage processes

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Some explicit results on one kind of sticky diffusion

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Term structure models and the zero bound: an empirical investigation of Japanese yields

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Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation

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A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions

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Maximum likelihood estimation of diffusions by continuous time Markov chain

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Higher-order implicit strong numerical schemes for stochastic differential equations

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Numerical Solution of an Elliptic Problem with a Non-classical Boundary Condition

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Numerical analysis of parabolic problems with dynamic boundary conditions

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Limit theorems for generalized single server queues

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Limit Theorems for Generalized Single Server Queues: The Exceptional System

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Error analysis of finite difference and Markov chain approximations for option pricing

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Markov chain approximation of one-dimensional sticky diffusions

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CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES

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Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound

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Weak Approximation of Obliquely Reflected Diffusions on Time-dependent Domains

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Multidimensional sticky Brownian motions as limits of exclusion processes

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Statistics and Data Analysis for Financial Engineering

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On the probability of default in a market with price clustering and jump risk

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On a Generalized <i>M</i>/<i>G</i>/1 Queuing Process in Which the First Customer of Each Busy Period Receives Exceptional Service

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Linear parabolic equations with venttsel initial boundary conditions

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Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior

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Pricing American drawdown options under Markov models

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Identifiers

Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.EJOR.2022.07.038

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Sitelinks

Mathematics(1 entry)

mardi Publication:2103028

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