Boundary preserving explicit scheme for the Aït-Sahalia mode
DOI10.3934/dcdsb.2022092OpenAlexW4285205561MaRDI QIDQ2083320
Nikolaos Halidias, Ioannis S. Stamatiou
Publication date: 10 October 2022
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdsb.2022092
semi-discrete methodexplicit numerical schemeAït-Sahalia modelnon-linear stochastic differential equations
Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to equations with nonlinear operators (65J15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- On the construction of boundary preserving numerical schemes
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