Constructing positivity preserving numerical schemes for the two-factor CIR model

DOI10.1515/mcma-2015-0109zbMath1329.60236OpenAlexW2299375517MaRDI QIDQ898655

Nikolaos Halidias

Publication date: 18 December 2015

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2015-0109

zbMATH Keywords

order of convergencepositivity preservationexplicit numerical schemetwo-factor CIR model

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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Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model ⋮ A note on the asymptotic stability of the semi-discrete method for stochastic differential equations ⋮ On the construction of boundary preserving numerical schemes ⋮ Construction of positivity preserving numerical method for jump-diffusion option pricing models ⋮ A new convergence and positivity analysis of balanced Euler method for stochastic age‐dependent population equations ⋮ The semi-discrete method for the approximation of the solution of stochastic differential equations ⋮ Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model ⋮ Numerical analysis of the balanced implicit method for stochastic age-dependent capital system with Poisson jumps ⋮ Multi-level Monte Carlo methods with the truncated Euler–Maruyama scheme for stochastic differential equations ⋮ Study on split-step Rosenbrock type method for stiff stochastic differential systems

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