Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model
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Cites work
- scientific article; zbMATH DE number 5157256 (Why is no real title available?)
- scientific article; zbMATH DE number 954636 (Why is no real title available?)
- scientific article; zbMATH DE number 5207903 (Why is no real title available?)
- A boundary preserving numerical algorithm for the Wright-Fisher model with mutation
- A boundary preserving numerical scheme for the Wright-Fisher model
- A positivity preserving numerical method for stochastic R\&D model
- A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models
- An explicit and positivity preserving numerical scheme for the mean reverting CEV model
- An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump
- Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model
- Approximating explicitly the mean-reverting CEV process
- Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems
- Balanced Milstein Methods for Ordinary SDEs
- Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations
- Constructing positivity preserving numerical schemes for the two-factor CIR model
- Construction of positivity preserving numerical method for jump-diffusion option pricing models
- Construction of positivity preserving numerical method for stochastic age-dependent population equations
- Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump
- First and second moment reversion for a discretized square root process with jumps
- Numerical methods for nonlinear stochastic differential equations with jumps
- On the discretization schemes for the CIR (and Bessel squared) processes
- On the numerical solution of some non-linear stochastic differential equations using the semi-discrete method
- Preserving positivity in solutions of discretised stochastic differential equations
- Semi-discrete approximations for stochastic differential equations and applications
- 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
Cited in
(4)- Positivity and boundedness preserving numerical scheme for the stochastic epidemic model with square-root diffusion term
- Strong convergence rate of implicit Euler scheme to a CIR model with delay
- Positivity preserving stochastic \(\theta\)-methods for selected SDEs
- Stochastic streamflow and dissolved silica dynamics with application to the worst-case long-run evaluation of water environment
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