Pages that link to "Item:Q379049"

The following pages link to Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance (Q379049):

Displaying 50 items.

• Construction of positivity preserving numerical schemes for some multidimensional stochastic differential equations (Q480036) (← links)
• A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models (Q503350) (← links)
• Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump (Q724558) (← links)
• First order strong approximations of scalar SDEs defined in a domain (Q740810) (← links)
• Highly nonlinear model in finance and convergence of Monte Carlo simulations (Q1018139) (← links)
• Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations (Q1696428) (← links)
• Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations (Q1708061) (← links)
• Construction of positivity-preserving numerical method for stochastic SIVS epidemic model (Q1716422) (← links)
• Construction of positivity preserving numerical method for stochastic age-dependent population equations (Q1737134) (← links)
• Implicit Milstein method for stochastic differential equations via the Wong-Zakai approximation (Q1785531) (← links)
• Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs (Q2007526) (← links)
• Numerical analysis of the balanced implicit method for stochastic age-dependent capital system with Poisson jumps (Q2010734) (← links)
• The positive numerical solution for stochastic age-dependent capital system based on explicit-implicit algorithm (Q2029118) (← links)
• Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations (Q2038153) (← links)
• Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model (Q2044133) (← links)
• Strong convergence of a GBM based tamed integrator for SDEs and an adaptive implementation (Q2050920) (← links)
• Positivity preserving stochastic \(\theta\)-methods for selected SDEs (Q2058409) (← links)
• A two-parameter Milstein method for stochastic Volterra integral equations (Q2059626) (← links)
• Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions (Q2088864) (← links)
• A positivity-preserving numerical algorithm for stochastic age-dependent population system with Lévy noise in a polluted environment (Q2094317) (← links)
• Positivity-preserving numerical schemes for stochastic differential equations (Q2107475) (← links)
• Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients (Q2154871) (← links)
• Stability analysis of stochastic delay differential equations with Markovian switching driven by Lévy noise (Q2169034) (← links)
• Truncated Milstein method for non-autonomous stochastic differential equations and its modification (Q2237930) (← links)
• Invariant measures of the Milstein method for stochastic differential equations with commutative noise (Q2279356) (← links)
• Explicit Milstein schemes with truncation for nonlinear stochastic differential equations: convergence and its rate (Q2306406) (← links)
• Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion (Q2309581) (← links)
• Two-step Milstein schemes for stochastic differential equations (Q2356076) (← links)
• Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes (Q2356605) (← links)
• Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model (Q2359660) (← links)
• Construction of positivity preserving numerical method for jump-diffusion option pricing models (Q2400313) (← links)
• High-order split-step theta methods for non-autonomous stochastic differential equations with non-globally Lipschitz continuous coefficients (Q2814094) (← links)
• Convergence of numerical methods for stochastic differential equations in mathematical finance (Q2849670) (← links)
• Double-implicit and split two-step Milstein schemes for stochastic differential equations (Q2958270) (← links)
• Approximation of Non-Lipschitz SDEs by Picard Iterations (Q4559473) (← links)
• $V$-integrability, asymptotic stability and comparison property of explicit numerical schemes for non-linear SDEs (Q4600707) (← links)
• Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations (Q4605703) (← links)
• Strong convergence and asymptotic stability of explicit numerical schemes for nonlinear stochastic differential equations (Q4956927) (← links)
• Study on split-step Rosenbrock type method for stiff stochastic differential systems (Q5030526) (← links)
• THE IMPLEMENTATION OF MILSTEIN SCHEME IN TWO-DIMENSIONAL SDES USING NON-DEGENERACY FOR THE DIFFUSION TERM (Q5204540) (← links)
• Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence (Q6096356) (← links)
• Convergence and stability of the Milstein scheme for stochastic differential equations with piecewise continuous arguments (Q6126604) (← links)
• Strong convergence of an adaptive time-stepping Milstein method for SDEs with monotone coefficients (Q6161578) (← links)
• Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients (Q6165526) (← links)
• Strong convergence rate of implicit Euler scheme to a CIR model with delay (Q6169226) (← links)
• Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients (Q6174717) (← links)
• Positivity-preserving truncated Euler-Maruyama method for generalised Ait-Sahalia-type interest model (Q6181513) (← links)
• Linear implicit approximations of invariant measures of semi-linear SDEs with non-globally Lipschitz coefficients (Q6540040) (← links)
• A positivity preserving Milstein-type method for stochastic differential equations with positive solutions (Q6572445) (← links)
• An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence (Q6649258) (← links)