Boundary preserving explicit scheme for the Aït-Sahalia mode (Q2083320)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Boundary preserving explicit scheme for the Aït-Sahalia mode |
scientific article; zbMATH DE number 7599031
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Boundary preserving explicit scheme for the Aït-Sahalia mode |
scientific article; zbMATH DE number 7599031 |
Statements
Boundary preserving explicit scheme for the Aït-Sahalia mode (English)
0 references
10 October 2022
0 references
The authors of this study put out an explicit numerical approach that would first approximate the original stochastic differential equation's Lamperti transformation before reversing it. The major findings concerning the strong convergence feature of the suggested numerical approach are then stated and supported by proofs by the authors. Finally, numerical studies that support theoretical findings.
0 references
explicit numerical scheme
0 references
semi-discrete method
0 references
non-linear stochastic differential equations
0 references
Aït-Sahalia model
0 references
0 references
0 references
