Convergence of Numerical Approximation for Jump Models Involving Delay and Mean-Reverting Square Root Process

DOI10.1080/07362994.2011.532043zbMath1217.65012OpenAlexW2032597182MaRDI QIDQ3168702

Yi Shen, Feng Jiang, Fuke Wu

Publication date: 19 April 2011

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2011.532043

zbMATH Keywords

Wiener processPoisson processmean-square convergencejump diffusionEuler-Maruyama methodfinancial applicationsmean-reverting square root diffusion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (6)

Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model ⋮ Strong convergence rate of implicit Euler scheme to a CIR model with delay ⋮ A note on order of convergence of numerical method for neutral stochastic functional differential equations ⋮ Approximations of numerical method for neutral stochastic functional differential equations with Markovian switching ⋮ 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

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• The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
• A Delayed Black and Scholes Formula
• Financial Modelling with Jump Processes
• First and second moment reversion for a discretized square root process with jumps

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