Cover Image

Preservation of structural properties of the CIR model by θ-Milstein schemes

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Llamazares-Elias, Samir, Tocino, Angel
Format:	Preprint
Published:	2024
Subjects:	Numerical Analysis 65C30 60H10 91G60
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Differentiating through Stochastic Differential Equations: A Primer
by: Leburu, Rishi, et al.
Published: (2026)

High order approximations and simulation schemes for the log-Heston process
by: Alfonsi, Aurélien, et al.
Published: (2024)

Functional SDE approximation inspired by a deep operator network architecture
by: Eigel, Martin, et al.
Published: (2024)

Boundary-preserving Lamperti-splitting schemes for some Stochastic Differential Equations
by: Ulander, Johan
Published: (2023)

Learning Stochastic Reduced Models from Data: A Nonintrusive Approach
by: Freitag, M. A., et al.
Published: (2024)

Strong error analysis and first-order convergence of Milstein-type schemes for McKean-Vlasov SDEs with superlinear coefficients
by: Zhu, Jingtao, et al.
Published: (2025)

Unbiased estimators for the Heston model with stochastic interest rates
by: Zheng, Chao, et al.
Published: (2023)

Drift-Randomized Milstein-Galerkin Finite Element Method for Semilinear Stochastic Evolution Equations
by: Qi, Xiao, et al.
Published: (2026)

Non-asymptotic uniform in time error bounds for new and old numerical schemes for SPDEs
by: Huang, Can, et al.
Published: (2026)

Strong solution and approximation of time-dependent radial Dunkl processes with multiplicative noise
by: Do, Minh-Thang, et al.
Published: (2024)

Lawson schemes for highly oscillatory stochastic differential equations and conservation of invariants
by: Debrabant, Kristian, et al.
Published: (2019)

Uniform in time convergence of numerical schemes for stochastic differential equations via Strong Exponential stability: Euler methods, Split-Step and Tamed Schemes
by: Angeli, Letizia, et al.
Published: (2023)

Geometric Ergodicity and Strong Error Estimates for Tamed Schemes of Super-linear SODEs
by: Liu, Zhihui, et al.
Published: (2024)

Numerical Methods for Dynamical Low-Rank Approximations of Stochastic Differential Equations -- Part I: Time discretization
by: Kazashi, Yoshihito, et al.
Published: (2026)

Approximation and regularity results for the Heston model and related processes
by: Lombardo, Edoardo
Published: (2025)

An Euler scheme for BSDEs via the Wiener chaos decomposition
by: Lozano, Pere Díaz, et al.
Published: (2025)

Convolution-FFT for option pricing in the Heston model
by: Gao, Xiang, et al.
Published: (2025)

Numerical approximation of SDEs driven by fractional Brownian motion for all $H\in(0,1)$ using WIS integration
by: Erdogan, Utku, et al.
Published: (2024)

Branched Signature Model
by: Ali, Munawar, et al.
Published: (2025)

Non-stationary Gaussian random fields on hypersurfaces: Sampling and strong error analysis
by: Jansson, Erik, et al.
Published: (2024)

Dynamical Low-Rank Approximation for Stochastic Differential Equations
by: Kazashi, Yoshihito, et al.
Published: (2023)

Implementation of Milstein Schemes for Stochastic Delay-Differential Equations with Arbitrary Fixed Delays
by: Griggs, Mitchell T., et al.
Published: (2025)

An unconditional boundary and dynamics preserving scheme for the stochastic epidemic model
by: Liu, Ruishu, et al.
Published: (2023)

Strong convergence of an explicit full-discrete scheme for stochastic Burgers-Huxley equation
by: Wang, Yibo, et al.
Published: (2024)

Numerical approximation of SDEs with fractional noise and distributional drift
by: Goudenège, Ludovic, et al.
Published: (2023)

Stochastic conformal integrators for linearly damped stochastic Poisson systems
by: Bréhier, Charles-Edouard, et al.
Published: (2025)

Approximation of the invariant measure for stochastic Allen-Cahn equation via an explicit fully discrete scheme
by: Wang, Yibo, et al.
Published: (2024)

Dynamical Low-Rank Approximations for Kalman Filtering
by: Nobile, Fabio, et al.
Published: (2025)

An explicit scheme for stochastic Allen-Cahn equations with space-time white noise near the sharp interface limit
by: Jiang, Yingsong, et al.
Published: (2026)

Uniform-in-time weak error estimates of explicit full-discretization schemes for SPDEs with non-globally Lipschitz coefficients
by: Jiang, Yingsong, et al.
Published: (2025)

First- and Half-order Schemes for Regime Switching Stochastic Differential Equation with Non-differentiable Drift Coefficient
by: Vashistha, Divyanshu, et al.
Published: (2025)

Boundary error control for numerical solution of BSDEs by the convolution-FFT method
by: Gao, Xiang, et al.
Published: (2025)

Randomised Euler-Maruyama method for SDEs with Hölder continuous drift coefficient
by: Bao, Jianhai, et al.
Published: (2025)

Numerical integrators for confined Langevin dynamics
by: Leimkuhler, B., et al.
Published: (2024)

Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
by: Leimkuhler, B., et al.
Published: (2020)

Strong convergence and Mittag-Leffler stability of stochastic theta method for time-changed stochastic differential equations
by: Chen, Jingwei, et al.
Published: (2025)

Convergence of the tamed-Euler-Maruyama method for SDEs with discontinuous and polynomially growing drift
by: Spendier, Kathrin, et al.
Published: (2022)

$α$-scaled strong convergence of stochastic theta method for stochastic differential equations driven by time-changed Lévy noise beyond Lipschitz continuity
by: Chen, Jingwei
Published: (2025)

Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
by: Leobacher, Gunther, et al.
Published: (2020)

The Milstein scheme for singular SDEs with Hölder continuous drift
by: Gerencsér, Máté, et al.
Published: (2023)