Semi-discrete approximations for stochastic differential equations and applications

DOI10.1080/00207160.2012.658380MaRDI QIDQ4903574zbMATH OpenOpenAlexFDO

Authors Nikolaos Halidias

Publication date 22 January 2013

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2012.658380

zbMATH Keywords

semi-discrete approximations of sdessquare root process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• A theory of the term structure of interest rates
• Backward stochastic differential equations with continuous coefficient
• Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations
• scientific article; zbMATH DE number 2114382 (Why is no real title available?)
• Interest rate models: an infinite dimensional stochastic analysis perspective
• Numerical methods for nonlinear stochastic differential equations with jumps
• Numerical solution of stochastic differential equations with jumps in finance
• On the discretization schemes for the CIR (and Bessel squared) processes
• One-dimensional stochastic differential equations involving a singular increasing process
• Singular stochastic differential equations.
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• The behavior of solutions of stochastic differential inequalities

Cited in

(24)

• Approximating explicitly the mean-reverting CEV process
• Adaptive timestepping for pathwise stability and positivity of strongly discretised nonlinear stochastic differential equations
• Construction of positivity preserving numerical method for stochastic age-dependent population equations
• A semi-discretization method for delayed stochastic systems
• The semi-discrete method for the approximation of the solution of stochastic differential equations
• Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model
• Pathwise stability and positivity of semi-discrete approximations of the solution of nonlinear stochastic differential equations
• Boundary preserving explicit scheme for the Aït-Sahalia mode
• Positivity-preserving numerical schemes for stochastic differential equations
• A note on the asymptotic stability of the semi-discrete method for stochastic differential equations
• Tamed EM schemes for neutral stochastic differential delay equations with superlinear diffusion coefficients
• An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump
• Construction of positivity preserving numerical method for jump-diffusion option pricing models
• A boundary preserving numerical scheme for the Wright-Fisher model
• A novel approach to construct numerical methods for stochastic differential equations
• Discrete approximation of stochastic differential equations
• Convergence rates of the semi-discrete method for stochastic differential equations
• On the construction of boundary preserving numerical schemes
• Semi-discretization of stochastic partial differential equations on $\mathbb{R}^1$ by a finite-difference method
• An explicit and positivity preserving numerical scheme for the mean reverting CEV model
• A new numerical scheme for the CIR process
• Domain preserving and strongly converging explicit scheme for the stochastic SIS epidemic model
• Boundary preservation and convergence of the linearly implicit Euler method with truncated Wiener process for the Wright-Fisher model
• On the numerical solution of some non-linear stochastic differential equations using the semi-discrete method

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