# An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump

@article{Stamatiou2019AnEP, title={An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump}, author={Ioannis S. Stamatiou}, journal={J. Comput. Appl. Math.}, year={2019}, volume={360}, pages={78-98} }

## Topics from this paper

## 12 Citations

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It is shown that the proposed scheme converges and theoretically achieves a strong convergence rate of at least 1 2 (α− 2 ∧ 1 α ) , where the constant α− < α can be chosen arbitrarily close to α ∈ (1, 2).

Lamperti Semi-Discrete method

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A version of the semi-discrete method, see Lamperti semidiscrete (LSD) method, is proposed, which seems to converge strongly to the solution process with order 1 and no extra restrictions on the parameters or the step-size.

Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model

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The positive numerical solution for stochastic age-dependent capital system based on explicit-implicit algorithm

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Tamed EM schemes for neutral stochastic differential delay equations with superlinear diffusion coefficients

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- 2021

Strong convergence of the split-step backward Euler method for stochastic delay differential equations with a nonlinear diffusion coefficient

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- 2021

The Semi-discrete Method for the Approximation of the Solution of Stochastic Differential Equations

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- 2021

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Convergence rates of the Semi-Discrete method for stochastic differential equations

- Mathematics, Computer ScienceArXiv
- 2020

The theoretical findings are supported by numerical experiments and the order of L2-convergence is studied and it is shown that it can be arbitrarily close to 1/2.

Harnack and super poincaré inequalities for generalized Cox-Ingersoll-Ross model

- Mathematics
- 2019

Abstract In this paper, Wang’s Harnack inequalities and super Poincaré inequality for generalized Cox-Ingersoll-Ross model are obtained. Since the noise is degenerate, the intrinsic metric has been…

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