scientific article; zbMATH DE number 954636

MaRDI QIDQ4718663zbMATH OpenFDO

Authors Henri Schurz

Publication date 23 February 1997

zbMATH Keywords

innovation diffusionnumerical regularizationnumerical solution of stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Monte Carlo methods (65C05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Probabilistic methods, stochastic differential equations (65C99)

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Cited in

(28)

• Approximating explicitly the mean-reverting CEV process
• Construction of positivity-preserving numerical method for stochastic SIVS epidemic model
• Construction of positivity preserving numerical method for stochastic age-dependent population equations
• Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model
• A positivity preserving numerical method for stochastic R\&D 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
• Positivity preserving stochastic \(\theta\)-methods for selected SDEs
• Strong convergence and almost sure exponential stability of balanced numerical approximations to stochastic delay Hopfield neural networks
• The balanced implicit method of preserving positivity for the stochastic SIQS epidemic model
• Parameter identification for a stochastic \textit{SEIRS} epidemic model: case study influenza
• Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model
• Construction of positivity preserving numerical method for jump-diffusion option pricing models
• A boundary preserving numerical scheme for the Wright-Fisher model
• Structure preserving stochastic integration schemes in interest rate derivative modeling
• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
• A boundary preserving numerical algorithm for the Wright-Fisher model with mutation
• Study on split-step Rosenbrock type method for stiff stochastic differential systems
• The numerical algorithm for stochastic age-dependent population system with Lévy noise in a polluted environment
• A new convergence and positivity analysis of balanced Euler method for stochastic age‐dependent population equations
• Mean-reverting schemes for solving the CIR model
• Boundary-preserving Lamperti-splitting schemes for some stochastic differential equations
• Preserving positivity in solutions of discretised stochastic differential equations
• Boundary preservation and convergence of the linearly implicit Euler method with truncated Wiener process for the Wright-Fisher model
• Logistic stochastic differential equations with power-law
• Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump
• Numerical analysis of BIMs for stochastic SIR and SIS models with variable contact diffusion rates
• On weak approximations of \((a, b)\)-invariant diffusions

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