On the Analysis of a Generalised Mean-Reverting Stochastic Model with Two Uncorrelated Brownian Motions

Emmanuel Coffie ()
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Emmanuel Coffie: University of Liverpool

Methodology and Computing in Applied Probability, 2025, vol. 27, issue 1, 1-20

Abstract: Abstract We introduce a highly sensitive mean-reverting stochastic model under the influence of two uncorrelated Brownian motions. However, due to its structural complexity and analytical intractability, we develop new mathematical techniques to investigate into the properties of the true and numerical solutions. Moreover, we show that, for a sufficiently small step size, the numerical solutions converge to the true solution in probability. Finally, we provide numerical demonstrations to support the theoretical findings.

Keywords: Stochastic model; Mean-reverting; Uncorrelated brownian motions; Truncated EM method; Monte Carlo method; 65C05; 65C30; 91G30; 91G60 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s11009-025-10149-7

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