We develop a new numerical method to compute survival probabilities based on stochastic differential models, a matter of great importance in several areas of science, such as finance, biology, medicine and geophysics. This novel approach is based on polynomial differential quadrature, which is combined with a high-order time discretization scheme. Numerical experiments are presented showing that the proposed method performs extremely well and is more efficient than the approaches recently developed in Costabile et al. (2013) and Guarin et al. (2011).
Andreoli, A., Ballestra, L.V., Pacelli, G. (2015). Computing survival probabilities based on stochastic differential models. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 277, 127-137 [10.1016/j.cam.2014.08.030].
Computing survival probabilities based on stochastic differential models
BALLESTRA, LUCA VINCENZO;
2015
Abstract
We develop a new numerical method to compute survival probabilities based on stochastic differential models, a matter of great importance in several areas of science, such as finance, biology, medicine and geophysics. This novel approach is based on polynomial differential quadrature, which is combined with a high-order time discretization scheme. Numerical experiments are presented showing that the proposed method performs extremely well and is more efficient than the approaches recently developed in Costabile et al. (2013) and Guarin et al. (2011).I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
