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

DOI10.1016/J.APNUM.2017.03.007zbMath1367.65013OpenAlexW2603282428MaRDI QIDQ2359660

A. S. Fatemion Aghda, Mohammed Hosseini Ali Abadi, 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

convergenceboundednessnumerical examplesfinancial marketsstochastic delay differential equationsnon-negativitybalanced implicit methoddelay CIR modeldelay Cox-Ingersoll-Ross model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (8)

Strong convergence rate of implicit Euler scheme to a CIR model with delay ⋮ Unnamed Item ⋮ 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 and non-negativity preserving of the solution of balanced method for the delay CIR model with jump ⋮ Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model ⋮ 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

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