A long term analysis of stochastic theta methods for mean reverting linear process with jumps-Reference-Cited by-同舟云学术

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A long term analysis of stochastic theta methods for mean reverting linear process with jumps

Published:2023-03 Issue: Volume:185 Page:516-529
ISSN:0168-9274
Container-title:Applied Numerical Mathematics
language:en
Short-container-title:Applied Numerical Mathematics

Author:

D'Ambrosio Raffaele,Moradi Afsaneh,Scalone Carmela

Funder

INdAM GNCS

Ministero dell'Istruzione dell'Università e della Ricerca

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics,Numerical Analysis

Reference43 articles.

1. Disentangling diffusion from jumps;Aï t-Sahalia;J. Financ. Econ.,2004

2. L'evy Processes and Stochastic Calculus;Applebaum,2004

3. Asymptotic stability of stochastic differential equations driven by Lévy noise;Applebaum;J. Appl. Probab.,2009

4. Stochastic stabilization of dynamical systems using Lévy noise;Applebaum;Stoch. Dyn.,2010

5. On the discretization schemes for the CIR (and Bessel squared) processes;Alfonsi;Monte Carlo Methods Appl.,2005

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1. Random periodic solutions of SDEs: Existence, uniqueness and numerical issues;Communications in Nonlinear Science and Numerical Simulation;2024-01

2. Numerical conservation issues for jump Pearson diffusions;Applied Numerical Mathematics;2023-09

3. Variable stepsize multivalue collocation methods;Applied Numerical Mathematics;2023-08

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