On the order of convergence for the semi discrete method applied on the CIR process
نویسنده
چکیده
In this paper we show that the order of convergence of the semi discrete numerical scheme that we have proposed before to approximate the CIR process is tending to be one as ∆ → 0.
منابع مشابه
A generalization of the semi discrete scheme applied on the CIR process
In this paper we generalize an explicit numerical scheme for the CIR process that we have proposed before. The advantage of this scheme is that preserves positivity as well and is well posed for a broader set of parameters than the existing schemes. The order of convergence is logarithmic.
متن کاملWavelet Based Estimation of the Derivatives of a Density for a Discrete-Time Stochastic Process: Lp-Losses
We propose a method of estimation of the derivatives of probability density based on wavelets methods for a sequence of random variables with a common one-dimensional probability density function and obtain an upper bound on Lp-losses for such estimators. We suppose that the process is strongly mixing and we show that the rate of convergence essentially depends on the behavior of a special quad...
متن کاملThe comparison of two high-order semi-discrete central schemes for solving hyperbolic conservation laws
This work presents two high-order, semi-discrete, central-upwind schemes for computing approximate solutions of 1D systems of conservation laws. We propose a central weighted essentially non-oscillatory (CWENO) reconstruction, also we apply a fourth-order reconstruction proposed by Peer et al., and afterwards, we combine these reconstructions with a semi-discrete central-upwind numerical flux ...
متن کاملConvergence of a semi-analytical method on the fuzzy linear systems
In this paper, we apply the homotopy analysis method (HAM) for solving fuzzy linear systems and present the necessary and sufficient conditions for the convergence of series solution obtained via the HAM. Also, we present a new criterion for choosing a proper value of convergence-control parameter $hbar$ when the HAM is applied to linear system of equations. Comparisons are made between the ...
متن کاملOn Approximate Stationary Radial Solutions for a Class of Boundary Value Problems Arising in Epitaxial Growth Theory
In this paper, we consider a non-self-adjoint, singular, nonlinear fourth order boundary value problem which arises in the theory of epitaxial growth. It is possible to reduce the fourth order equation to a singular boundary value problem of second order given by w''-1/r w'=w^2/(2r^2 )+1/2 λ r^2. The problem depends on the parameter λ and admits multiple solutions. Therefore, it is difficult to...
متن کامل