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An Efficient Numerical Scheme for Simulation of Mean-Reverting Square-Root Diffusions
Deng DING; C. I. CHAO
2010
Source PublicationJournal of Numerical Mathematics and Stochastics
ISSN2151-2302
Volume1Issue:1Pages:45-55
Abstract

An efficient numerical scheme, which is based on the splitting-step idea [20], for
simulation of mean-reverting square-root diffusions is presented in this paper. We prove
positivity preservation for this scheme and an estimate of its local error in the second moment.
A series of numerical experiments based on MATLAB programs is given to compare the
suggested scheme with the schemes of the balanced implicit method (BIM) and the balanced
Milstein method (BMM), which are reported in [15, 16, 19].

KeywordMean-reverting Square-root Diffusion Simulation Positivity Preservation Splitting-step Algorithm
DOIhttp://dx.doi.org/10.1063/1.3452280
Language英语
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Document TypeJournal article
CollectionFaculty of Science and Technology
DEPARTMENT OF MATHEMATICS
Corresponding AuthorDeng DING
AffiliationDepartment of Mathematics Faculty of Science and Technology University of Macau, Macao, China
First Author AffilicationFaculty of Science and Technology
Corresponding Author AffilicationFaculty of Science and Technology
Recommended Citation
GB/T 7714
Deng DING,C. I. CHAO. An Efficient Numerical Scheme for Simulation of Mean-Reverting Square-Root Diffusions[J]. Journal of Numerical Mathematics and Stochastics,2010,1(1):45-55.
APA Deng DING,&C. I. CHAO.(2010).An Efficient Numerical Scheme for Simulation of Mean-Reverting Square-Root Diffusions.Journal of Numerical Mathematics and Stochastics,1(1),45-55.
MLA Deng DING,et al."An Efficient Numerical Scheme for Simulation of Mean-Reverting Square-Root Diffusions".Journal of Numerical Mathematics and Stochastics 1.1(2010):45-55.
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