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

DOI10.1016/J.CAM.2018.06.009zbMATH Open1393.60060arXiv1712.03206OpenAlexW2963606359MaRDI QIDQ724558FDOQ724558

Authors: A. S. Fatemion Aghda, Mahdieh Tahmasebi, S. Mohammad Hosseini 

Publication date: 26 July 2018

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

Abstract: In this work, we propose the balanced implicit method (BIM) to approximate the solution of the delay Cox-Ingersoll-Ross (CIR) model with jump which often gives rise to model an asset price and stochastic volatility . We show that this method preserves non-negativity property of the solution of this model with appropriate control functions. We prove the strong convergence and investigate the $p$th moment boundedness of the solution of BIM. Finally, we illustrate those results in the last section.

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

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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)

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Cited In (5)

• An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump
• Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model
• On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case
• Strong convergence rate of implicit Euler scheme to a CIR model with delay
• Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model

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