A highly sensitive mean-reverting process in finance and the Euler-Maruyama approximations
From MaRDI portal
Publication:947594
DOI10.1016/j.jmaa.2008.07.069zbMath1158.60033OpenAlexW2036229250MaRDI QIDQ947594
Fuke Wu, Kan Chen, Xuerong Mao
Publication date: 6 October 2008
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2008.07.069
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Related Items
Analysis of a stochastic logistic model with diffusion and Ornstein–Uhlenbeck process ⋮ Dynamical behaviors of a stochastic food chain system with Ornstein-Uhlenbeck process ⋮ Analysis of a stochastic Lotka–Volterra competitive system with infinite delays and Ornstein–Uhlenbeck process ⋮ A stochastic differential equation SIS epidemic model incorporating Ornstein-Uhlenbeck process ⋮ Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation ⋮ The balanced implicit method of preserving positivity for the stochastic SIQS epidemic model ⋮ The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model ⋮ A stochastic chemostat model with mean-reverting Ornstein-Uhlenbeck process and Monod-Haldane response function ⋮ Survival and stationary distribution analysis of a stochastic competitive model of three species in a polluted environment ⋮ Dynamic property of a stochastic cooperative species system with distributed delays and Ornstein–Uhlenbeck process ⋮ Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition ⋮ Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations ⋮ Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions ⋮ Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay ⋮ Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations ⋮ Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift ⋮ The truncated Euler-Maruyama method for stochastic differential equations ⋮ Stationary distribution of a stochastic vegetation-water system with reaction-diffusion ⋮ Property and numerical simulation of the Ait-Sahalia-Rho model with nonlinear growth conditions ⋮ Strong convergence of the partially truncated Euler-Maruyama scheme for a stochastic age-structured SIR epidemic model ⋮ Environmental variability in a stochastic epidemic model ⋮ Dynamical behavior of a stochastic SIQR epidemic model with Ornstein-Uhlenbeck process and standard incidence rate after dimensionality reduction
Cites Work
This page was built for publication: A highly sensitive mean-reverting process in finance and the Euler-Maruyama approximations
