Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model

DOI10.1016/J.APNUM.2017.03.007MaRDI QIDQ2359660zbMATH OpenOpenAlexFDO

Authors A. S. Fatemion Aghda, S. Mohammad Hosseini, Mahdieh Tahmasebi

Publication date 22 June 2017

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.apnum.2017.03.007

zbMATH Keywords

balanced implicit methodboundednessconvergencedelay CIR modeldelay Cox-Ingersoll-Ross modelfinancial marketsnon-negativitynumerical examplesstochastic delay differential equations

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) 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) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cited in

(10)

• Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model
• The positive numerical solution for stochastic age-dependent capital system based on explicit-implicit algorithm
• Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model
• The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
• An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump
• Study on split-step Rosenbrock type method for stiff stochastic differential systems
• An explicit split-step truncated Milstein method for stochastic differential equations
• Strong convergence rate of implicit Euler scheme to a CIR model with delay
• Convergence of a positivity preserving logarithmic truncated EM method for SDEs with discontinuous drift coefficients
• Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump

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