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Numerical methods for mean-reverting square root processes with jumps |
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| รหัสดีโอไอ | |
| Title | Numerical methods for mean-reverting square root processes with jumps |
| Creator | Raywat Tanadkithirun |
| Contributor | Kittipat Wong, Sirod Sirisup |
| Publisher | Chulalongkorn University |
| Publication Year | 2552 |
| Keyword | Stochastic processes, Probabilities, Differential equations |
| Abstract | We study three numerical methods: Euler-Maruyama method, compensated split-step backward Euler method, and jump-adapted Euler method by numeri- cally investigating on their performance as well as accuracy in solving the mean- reverting square root process with jumps in weak sense. Rigorous error bounds in weak sense for Euler-Maruyama and compensated split-step backward Euler methods will also be provided |
| URL Website | cuir.car.chula.ac.th |
