相关论文: On a positivity preserving numerical scheme for ju…
In this work a simple method to enforce the positivity-preserving property for general high-order conservative schemes is proposed. The method keeps the original scheme unchanged and detects critical numerical fluxes which may lead to…
We present stochastic variants of the exponential time differencing schemes for stiff stochastic differential equations. We derive three explicit schemes that offer better stability compared to Euler-Maruyama and Milstein's method, and…
We consider a time inhomogeneous Cox-Ingersoll-Ross diffusion with positive jumps. We exploit a branching property to prove existence of a unique strong solution under a restrictive condition on the jump measure. We give Laplace transforms…
In this paper, we study the numerical simulations for Euler system with maximal density constraint. This model is developed in [1, 3] with the constraint introduced into the system by a singular pressure law, which causes the transition of…
We extend the classical Cox-Ross-Rubinstein binomial model in two ways. We first develop a binomial model with time-dependent parameters that equate all moments of the pricing tree increments with the corresponding moments of the increments…
While the original Ait-Sahalia interest rate model has been found considerable use as a model for describing time series evolution of interest rates, it may not possess adequate specifications to explain responses of interest rates to…
Numerical schemes for the solution of the Euler equations have recently been developed, which involve the discretisation of the internal energy equation, with corrective terms to ensure the correct capture of shocks, and, more generally,…
We consider the dynamics of a 1D system evolving according to a deterministic drift and randomly forced by two types of jumps processes, one representing an external, uncontrolled forcing and the other one a control that instantaneously…
Previous work introduced a lower-dimensional numerical model for the geometric nonlinear simulation and optimization of compliant pressure actuated cellular structures. This model takes into account hinge eccentricities as well as…
An asymptotic preserving and energy stable scheme for the barotropic Euler system under the low Mach number scaling is designed and analysed. A velocity shift proportional to the pressure gradient is introduced in the convective fluxes,…
This paper introduces a family of recursively defined estimators of the parameters of a diffusion process. We use ideas of stochastic algorithms for the construction of the estimators. Asymptotic consistency of these estimators and…
Many stochastic differential equations that occur in financial modelling do not satisfy the standard assumptions made in convergence proofs of numerical schemes that are given in textbooks, i.e., their coefficients and the corresponding…
We consider a stochastic process driven by a diffusion and jumps. We devise a technique, which is based on a discrete record of observations, for identifying the times when jumps larger than a suitably defined threshold occurred. The…
We provide quantitative bounds for the long time behavior of a class of Piecewise Deterministic Markov Processes with state space Rd \times E where E is a finite set. The continuous component evolves according to a smooth vector field that…
This work is denoted to studying the tail behavior of Cox-Ingersoll-Ross (CIR) processes with regime-switching. One essential difference shown in this work between CIR process with regime-switching and without regime-switching is that the…
We study a problem of utility maximization under model uncertainty with information including jumps. We prove first that the value process of the robust stochastic control problem is described by the solution of a quadratic-exponential…
We investigate a high-order, fully explicit, asymptotic-preserving scheme for a kinetic equation with linear relaxation, both in the hydrodynamic and diffusive scalings in which a hyperbolic, resp. parabolic, limiting equation exists. The…
For random variables produced through the inverse transform method, approximate random variables are introduced, which are produced by approximations to a distribution's inverse cumulative distribution function. These approximations are…
The CEV model is given by the stochastic differential equation $X_t=X_0+\int_0^t\mu X_sds+\int_0^t\sigma (X^+_s)^pdW_s$, $\frac{1}{2}\le p<1$. It features a non-Lipschitz diffusion coefficient and gets absorbed at zero with a positive…
A maximum likelihood type estimation of the drift and volatility coefficient parameters in the CIR type model driven by $\alpha$-stable noises is studied when the dispersion parameter $\varepsilon\to0$ and the discrete observations…