Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model

Stochastic analysis (60Hxx) Probabilistic methods, stochastic differential equations (65Cxx) Numerical methods for integral equations, integral transforms (65Rxx) Random integral equations (45Rxx)

Cites Work

Numerical methods for nonlinear stochastic differential equations with jumps
On the discretization schemes for the CIR (and Bessel squared) processes
Title not available (Why is that?)
Title not available (Why is that?)
Construction of positivity preserving numerical method for jump-diffusion option pricing models
Balanced Milstein Methods for Ordinary SDEs
Approximating explicitly the mean-reverting CEV process
Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations
A boundary preserving numerical algorithm for the Wright-Fisher model with mutation
Semi-discrete approximations for stochastic differential equations and applications
An explicit and positivity preserving numerical scheme for the mean reverting CEV model
Constructing positivity preserving numerical schemes for the two-factor CIR model
On the numerical solution of some non-linear stochastic differential equations using the semi-discrete method
Title not available (Why is that?)
Construction of positivity preserving numerical method for stochastic age-dependent population equations
A positivity preserving numerical method for stochastic R\&D model
Preserving positivity in solutions of discretised stochastic differential equations
Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump
Structure preserving stochastic integration schemes in interest rate derivative modeling
A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models
First and second moment reversion for a discretized square root process with jumps
Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model
A boundary preserving numerical scheme for the Wright-Fisher model
Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump
An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump
Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems

Cited In (4)

Strong convergence rate of implicit Euler scheme to a CIR model with delay
Stochastic streamflow and dissolved silica dynamics with application to the worst-case long-run evaluation of water environment
Positivity and boundedness preserving numerical scheme for the stochastic epidemic model with square-root diffusion term
Positivity preserving stochastic \(\theta\)-methods for selected SDEs

This page was built for publication: Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1998366)