Abstract
In this paper, we study a class of problems known in the literature as jump Pearson diffusions, for which asymptotic mean and variance are closed-form deductible. This makes the problem very attractive from a numerical analysis point of view, in terms of testing the conservative properties of available numerical methods. In particular, we introduce a complete analysis for the class of the stochastic θ-methods on their ability to replicate the asymptotic behavior of the first and second moments of the exact solution. Finally, selected numerical experiments are provided to confirm the effectiveness of the theoretical analysis.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
