Semi-discrete approximations for stochastic differential equations and applications

DOI10.1080/00207160.2012.658380zbMATH Open1255.65020OpenAlexW2078735087MaRDI QIDQ4903574FDOQ4903574

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

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zbMATH Keywords

square root processsemi-discrete approximations of sdes

Mathematics Subject Classification ID

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

Cites Work

• A theory of the term structure of interest rates
• Title not available (Why is that?)
• Backward stochastic differential equations with continuous coefficient
• Singular stochastic differential equations.
• Interest rate models: an infinite dimensional stochastic analysis perspective
• Numerical solution of stochastic differential equations with jumps in finance
• Numerical methods for nonlinear stochastic differential equations with jumps
• On the discretization schemes for the CIR (and Bessel squared) processes
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• One-dimensional stochastic differential equations involving a singular increasing process
• Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations
• The behavior of solutions of stochastic differential inequalities

Cited In (21)

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

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