Balanced Milstein Methods for Ordinary SDEs
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Publication:5487895
consistencyconvergencenumerical examplesstabilityEuler schemeMilstein schemestochastic differential equations (SDEs)Cox-Ingersoll-Ross modelbalanced implicit methodsinvariance-preservingpathwise positivity
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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Cites work
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- scientific article; zbMATH DE number 1216399 (Why is no real title available?)
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- scientific article; zbMATH DE number 3438157 (Why is no real title available?)
- scientific article; zbMATH DE number 822846 (Why is no real title available?)
- Balanced Implicit Methods for Stiff Stochastic Systems
- Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations
- Numerical analysis of stochastic differential equations without tears
- Numerical solution of SDE through computer experiments. Including floppy disk
- Stratonovich and Ito Stochastic Taylor Expansions
Cited in
(44)- Chi-square simulation of the CIR process and the Heston model
- Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs
- Derivation of several SDE systems in one- and two-locus population genetics
- Implicit numerical solutions for solving stochastic differential equations with jumps
- The balanced implicit method of preserving positivity for the stochastic SIQS epidemic model
- Invariant measures of the Milstein method for stochastic differential equations with commutative noise
- Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model
- An exponential split-step double balanced \(\vartheta\) Milstein scheme for SODEs with locally Lipschitz continuous coefficients
- Stochastically adaptive control and synchronization: from globally one-sided Lipschitzian to only locally Lipschitzian systems
- Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations
- Numerical analysis of the balanced implicit method for stochastic age-dependent capital system with Poisson jumps
- Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
- Balanced implicit methods with strong order 1.5 for solving stochastic differential equations
- Split-step backward balanced Milstein methods for stiff stochastic systems
- Numerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficients
- Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump
- High order discretization schemes for the CIR process: application to affine term structure and heston models
- An error corrected Euler-Maruyama method for stiff stochastic differential equations
- Split-step double balanced approximation methods for stiff stochastic differential equations
- The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations
- A class of split-step balanced methods for stiff stochastic differential equations
- Analytical approximation for distorted expectations
- Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model
- Stable strong order 1.0 schemes for solving stochastic ordinary differential equations
- The composite Milstein methods for the numerical solution of Itô stochastic differential equations
- Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion
- An improved Milstein method for stiff stochastic differential equations
- A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
- Truncated Milstein method for non-autonomous stochastic differential equations and its modification
- First-order weak balanced schemes for stochastic differential equations
- On the construction of boundary preserving numerical schemes
- Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model
- scientific article; zbMATH DE number 7594708 (Why is no real title available?)
- A boundary preserving numerical algorithm for the Wright-Fisher model with mutation
- Strong convergence and stationary distribution of an explicit scheme for the Wright-Fisher model
- Construction of positivity preserving numerical method for jump-diffusion option pricing models
- Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
- A class of balanced stochastic Runge-Kutta methods for stiff SDE systems
- Construction of positivity preserving numerical method for stochastic age-dependent population equations
- Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions
- Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations
- Fast strong approximation Monte Carlo schemes for stochastic volatility models
- Approximating explicitly the mean-reverting CEV process
- Split-step Adams-Moulton Milstein methods for systems of stiff stochastic differential equations
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