Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump

DOI10.1016/j.cam.2018.06.009zbMath1393.60060arXiv1712.03206OpenAlexW2963606359MaRDI QIDQ724558

Mahdieh Tahmasebi, A. S. Fatemion Aghda, Mohammed Hosseini Ali Abadi

Publication date: 26 July 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.03206

zbMATH Keywords

convergencemoment boundednessbalanced methodnon-negativitydelay CIR model with jumpstochastic delay differential equation with jump

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Strong convergence rate of implicit Euler scheme to a CIR model with delay, Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model, An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance
• A boundary preserving numerical algorithm for the Wright-Fisher model with mutation
• A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models
• Runge-Kutta methods for jump-diffusion differential equations
• Taylor approximation of the solutions of stochastic differential delay equations with Poisson jump
• On the numerical solution of some non-linear stochastic differential equations using the semi-discrete method
• Numerical analysis of the balanced implicit methods for stochastic pantograph equations with jumps
• Convergence and stability analysis for implicit simulations of stochastic differential equations with random jump magnitudes
• The semi-implicit Euler method for stochastic differential delay equation with jumps
• Approximating explicitly the mean-reverting CEV process
• Construction of positivity preserving numerical method for stochastic age-dependent population equations
• Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations
• The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
• Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model
• Convergence of numerical solutions to stochastic delay differential equations with jumps
• Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump
• On positivity and boundedness of solutions of nonlinear stochastic difference equations
• Construction of positivity preserving numerical method for jump-diffusion option pricing models
• A boundary preserving numerical scheme for the Wright-Fisher model
• Structure preserving stochastic integration schemes in interest rate derivative modeling
• Numerical methods for nonlinear stochastic differential equations with jumps
• Compensated stochastic theta methods for stochastic differential delay equations with jumps
• A Theory of the Term Structure of Interest Rates
• Convergence and stability of the balanced methods for stochastic differential equations with jumps
• Convergence of Numerical Approximation for Jump Models Involving Delay and Mean-Reverting Square Root Process
• Numerical Solutions of Stochastic Differential Delay Equations with Jumps
• Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations
• Balanced Implicit Methods for Stiff Stochastic Systems
• Stochastic differential delay equations with jumps, under nonlinear growth condition
• An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process
• Balanced Milstein Methods for Ordinary SDEs