JUMP SYSTEMS WITH THE MEAN-REVERTING γ-PROCESS AND CONVERGENCE OF THE NUMERICAL APPROXIMATION

DOI10.1142/S0219493712003663zbMath1246.65015MaRDI QIDQ5389123

Yi Shen, Feng Jiang, Fuke Wu

Publication date: 24 April 2012

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationBrownian motionpositive solutionfinanceconvergence in probabilityEuler-Maruyama approximationmean-reverting processcompensated Poisson process

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation ⋮ Convergence of the compensated split-step \(\theta\)-method for nonlinear jump-diffusion systems ⋮ Property and numerical simulation of the Ait-Sahalia-Rho model with nonlinear growth conditions

Cites Work

• A Jump-Diffusion Model for Option Pricing
• Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
• Numerical methods for nonlinear stochastic differential equations with jumps
• The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
• Financial Modelling with Jump Processes
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