Semi-discrete approximations for stochastic differential equations and applications
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Publication:4903574
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Cites work
- scientific article; zbMATH DE number 2114382 (Why is no real title available?)
- 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
- 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
(23)- Discrete approximation of stochastic differential equations
- The semi-discrete method for the approximation of the solution of stochastic differential equations
- Construction of positivity preserving numerical method for stochastic age-dependent population equations
- Semi-discretization of stochastic partial differential equations on $\mathbb{R}^1$ by a finite-difference method
- An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump
- On the numerical solution of some non-linear stochastic differential equations using the semi-discrete method
- A novel approach to construct numerical methods for stochastic differential equations
- On the construction of boundary preserving numerical schemes
- A note on the asymptotic stability of the semi-discrete method for stochastic differential equations
- An explicit and positivity preserving numerical scheme for the mean reverting CEV model
- Tamed EM schemes for neutral stochastic differential delay equations with superlinear diffusion coefficients
- Adaptive timestepping for pathwise stability and positivity of strongly discretised nonlinear stochastic differential equations
- A new numerical scheme for the CIR process
- A boundary preserving numerical scheme for the Wright-Fisher model
- A semi-discretization method for delayed stochastic systems
- Construction of positivity preserving numerical method for jump-diffusion option pricing models
- Boundary preserving explicit scheme for the Aït-Sahalia mode
- Convergence rates of the semi-discrete method for stochastic differential equations
- Pathwise stability and positivity of semi-discrete approximations of the solution of nonlinear stochastic differential equations
- Domain preserving and strongly converging explicit scheme for the stochastic SIS epidemic model
- Approximating explicitly the mean-reverting CEV process
- Positivity-preserving numerical schemes for stochastic differential equations
- Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model
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