Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching

DOI10.1155/JAMSA/2006/80967zbMath1147.60320OpenAlexW1998854671MaRDI QIDQ937465

Xuerong Mao, Aubrey Truman, Chenggui Yuan

Publication date: 15 August 2008

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/54624

zbMATH Keywords

regime-switchingnon-Lipschitz coefficientsEuler-Maruyama (EM) scheme

Mathematics Subject Classification ID

Related Items (20)

Convergence of Numerical Approximation for Jump Models Involving Delay and Mean-Reverting Square Root Process ⋮ Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump ⋮ The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model ⋮ Approximate solutions for neutral stochastic fractional differential equations ⋮ Pathwise convergence rates for numerical solutions of Markovian switching stochastic differential equations ⋮ Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model ⋮ Dynamics of a mean-reverting stochastic volatility equation with regime switching ⋮ Continuous feedback stabilization for a class of affine stochastic nonlinear systems ⋮ Unnamed Item ⋮ JUMP SYSTEMS WITH THE MEAN-REVERTING γ-PROCESS AND CONVERGENCE OF THE NUMERICAL APPROXIMATION ⋮ Tamed-Euler method for hybrid stochastic differential equations with Markovian switching ⋮ Convergence of numerical solutions to stochastic differential equations with Markovian switching ⋮ A highly sensitive mean-reverting process in finance and the Euler-Maruyama approximations ⋮ Property and numerical simulation of the Ait-Sahalia-Rho model with nonlinear growth conditions ⋮ Strong Solutions of a Class of Stochastic Differential Equations with Jumps ⋮ Faedo-Galerkin approximate solutions for stochastic semilinear integrodifferential equations ⋮ Preserving positivity in solutions of discretised stochastic differential equations ⋮ Weak solution of stochastic differential equations with fractional diffusion coefficient ⋮ Highly nonlinear model in finance and convergence of Monte Carlo simulations ⋮ Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation

Uses Software

• Mathematica

Cites Work

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