Semi-discrete approximations for stochastic differential equations and applications

DOI10.1080/00207160.2012.658380zbMath1255.65020OpenAlexW2078735087MaRDI QIDQ4903574

Nikolaos Halidias

Publication date: 22 January 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2012.658380

zbMATH Keywords

square root processsemi-discrete approximations of sdes

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (17)

A note on the asymptotic stability of the semi-discrete method for stochastic differential equations ⋮ Approximating explicitly the mean-reverting CEV process ⋮ On the construction of boundary preserving numerical schemes ⋮ Construction of positivity preserving numerical method for jump-diffusion option pricing models ⋮ A boundary preserving numerical scheme for the Wright-Fisher model ⋮ Adaptive timestepping for pathwise stability and positivity of strongly discretised nonlinear stochastic differential equations ⋮ Tamed EM schemes for neutral stochastic differential delay equations with superlinear diffusion coefficients ⋮ A novel approach to construct numerical methods for stochastic differential equations ⋮ Construction of positivity preserving numerical method for stochastic age-dependent population equations ⋮ An explicit and positivity preserving numerical scheme for the mean reverting CEV model ⋮ The semi-discrete method for the approximation of the solution of stochastic differential equations ⋮ A new numerical scheme for the CIR process ⋮ 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 ⋮ Pathwise stability and positivity of semi-discrete approximations of the solution of nonlinear stochastic differential equations ⋮ Boundary preserving explicit scheme for the Aït-Sahalia mode ⋮ Positivity-preserving numerical schemes for stochastic differential equations

Cites Work

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• Numerical solution of stochastic differential equations with jumps in finance
• Backward stochastic differential equations with continuous coefficient
• Singular stochastic differential equations.
• The behavior of solutions of stochastic differential inequalities
• Numerical methods for nonlinear stochastic differential equations with jumps
• Interest rate models: an infinite dimensional stochastic analysis perspective
• A Theory of the Term Structure of Interest Rates
• One-dimensional stochastic differential equations involving a singular increasing process
• On the discretization schemes for the CIR (and Bessel squared) processes
• Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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