Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model.
Jianguo TanYang ChenWeiwei MenYongfeng GuoPublished in: Math. Comput. Simul. (2021)
Keyphrases
- mathematical model
- cost function
- objective function
- modeling method
- high order
- sensitivity analysis
- prediction model
- statistical model
- probabilistic model
- prior knowledge
- regression analysis
- linear model
- generalized linear
- energy function
- evaluation method
- nonlinear models
- test data
- similarity measure
- monte carlo simulation
- hybrid model
- bp neural network
- bayesian framework
- significant improvement
- prior information
- study proposes
- optimization method
- closed form
- tree structure
- pairwise
- reconstruction method
- convergence rate
- recurrent neural network model
- gaussian distribution
- linear regression
- input data
- parameter space
- probability distribution
- segmentation method
- regression model
- theoretical analysis