Numerical conservation issues for jump Pearson diffusions
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Cites work
- A cumulant approach for the first-passage-time problem of the Feller square-root process
- A long term analysis of stochastic theta methods for mean reverting linear process with jumps
- Almost sure stability of linear stochastic differential equations with jumps
- Asymptotic Stability of Stochastic Differential Equations Driven by Lévy Noise
- Asymptotic Stability of a Jump-Diffusion Equation and Its Numerical Approximation
- Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes
- Computing the closest real normal matrix and normal completion
- Construction of positivity preserving numerical method for jump-diffusion option pricing models
- Convergence and stability of implicit methods for jump-diffusion systems
- Destabilising nonnormal stochastic differential equations
- Drift-preserving numerical integrators for stochastic Hamiltonian systems
- Drift-preserving numerical integrators for stochastic Poisson systems
- Filon quadrature for stochastic oscillators driven by time-varying forces
- Financial Modelling with Jump Processes
- First and second moment reversion for a discretized square root process with jumps
- Long time accuracy of Lie-Trotter splitting methods for Langevin dynamics
- Long-Term Analysis of Stochastic Hamiltonian Systems Under Time Discretizations
- Long-term analysis of stochastic -methods for damped stochastic oscillators
- Low rank Runge-Kutta methods, symplecticity and stochastic Hamiltonian problems with additive noise
- Lévy Processes and Stochastic Calculus
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Mean-square contractivity of stochastic \(\vartheta\)-methods
- Numerical Methods for Stochastic Systems Preserving Symplectic Structure
- Numerical conservation issues for the stochastic Korteweg-de Vries equation
- Numerical methods for nonlinear stochastic differential equations with jumps
- Numerical preservation issues in stochastic dynamical systems by -methods
- Numerical solution of jump-diffusion LIBOR market models
- On the numerical structure preservation of nonlinear damped stochastic oscillators
- Option pricing when underlying stock returns are discontinuous
- Positivity preserving stochastic \(\theta\)-methods for selected SDEs
- Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion
- Series Expansions for the First Passage Distribution of Wong–Pearson Jump-Diffusions
- Stochastic stabilization of dynamical systems using Lévy noise
- Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
- Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise
- The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
- Theory of stochastic differential equations with jumps and applications.
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