On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case

DOI10.1007/s10543-019-00753-8zbMath1480.65017arXiv1804.08070OpenAlexW2964281083WikidataQ127963792 ScholiaQ127963792MaRDI QIDQ2273199

Dai Taguchi, Li-Bo Li

Publication date: 18 September 2019

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.08070

zbMATH Keywords

implicit schemeEuler-Maruyama schemespectrally positive Lévy processHölder continuous coefficientsLévy driven SDEsalpha-CIR models

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 (7)

Strong convergence in infinite time interval of tamed-adaptive Euler-Maruyama scheme for Lévy-driven SDEs with irregular coefficients ⋮ Positivity preserving truncated scheme for the stochastic Lotka-Volterra model with small moment convergence ⋮ ESSAYS ON STRONG AND WEAK APPROXIMATIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS ⋮ Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs ⋮ On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps ⋮ A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options ⋮ Simulation of Non-Lipschitz Stochastic Differential Equations Driven by $\alpha$-Stable Noise: A Method Based on Deterministic Homogenization

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