A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models
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numerical resultsWiener processPoisson processmathematical financebackward Euler methodnon-Lipschitz coefficientsjump-adapted method[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=jump-diffusion+It%EF%BF%BD%EF%BF%BD+stochastic+differential+equation&go=Go jump-diffusion It�� stochastic differential equation]jump-extended CIR and CEV modelsstrong convergence rates
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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Cites work
- scientific article; zbMATH DE number 3784039 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
- An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
- An explicit and positivity preserving numerical scheme for the mean reverting CEV model
- Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations
- Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance
- Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
- Financial Modelling with Jump Processes
- First and second moment reversion for a discretized square root process with jumps
- First order strong approximations of scalar SDEs defined in a domain
- High order discretization schemes for the CIR process: application to affine term structure and heston models
- Jump-diffusion CIR model and its applications in credit risk
- 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
- Strong approximations of stochastic differential equations with jumps
- Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump
- Strong order one convergence of a drift implicit Euler scheme: application to the CIR process
- Structure preserving stochastic integration schemes in interest rate derivative modeling
- The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
Cited in
(21)- On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
- Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump
- Jump systems with the mean-reverting \(\gamma \)-process and convergence of the numerical approximation
- Harnack and super Poincaré inequalities for generalized Cox-Ingersoll-Ross model
- Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model
- An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump
- Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps
- Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations
- Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients
- Finite element methods and their error analysis for SPDEs driven by Gaussian and non-Gaussian noises
- Log-Harnack inequality and exponential ergodicity for distribution dependent Chan-Karolyi-Longstaff-Sanders and Vasicek models
- Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump
- Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model
- On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case
- Construction of positivity preserving numerical method for jump-diffusion option pricing models
- The truncated EM method for stochastic differential equations with Poisson jumps
- Strong convergence and stationary distribution of an explicit scheme for the Wright-Fisher model
- Approximating explicitly the mean-reverting CEV process
- Strong convergence in infinite time interval of tamed-adaptive Euler-Maruyama scheme for Lévy-driven SDEs with irregular coefficients
- Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems
- Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model
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