Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump

DOI10.1016/j.cam.2018.06.009zbMath1393.60060arXiv1712.03206OpenAlexW2963606359MaRDI QIDQ724558

Mahdieh Tahmasebi, A. S. Fatemion Aghda, Mohammed Hosseini Ali Abadi

Publication date: 26 July 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.03206

zbMATH Keywords

convergencemoment boundednessbalanced methodnon-negativitydelay CIR model with jumpstochastic delay differential equation with jump

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Strong convergence rate of implicit Euler scheme to a CIR model with delay ⋮ Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model ⋮ An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump

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