Computing survival probabilities based on stochastic differential models

• Alessandro Andreoli ^[1] ; Graziella Pacelli ^[1] ; Luca Vincenzo Ballestra ^[2]
  1. [1] Marche Polytechnic University

     Marche Polytechnic University

     Ancona, Italia

     
  2. [2] Seconda Università di Napoli
• Localización: Journal of computational and applied mathematics, ISSN 0377-0427, Vol. 277, Nº 1 (15 March 2015), 2015, págs. 127-137
• Idioma: inglés
• DOI: 10.1016/j.cam.2014.08.030
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• Resumen

  • Wedevelop 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).