Positivity-preserving truncated Euler-Maruyama method for generalised Ait-Sahalia-type interest model
DOI10.1007/s10543-023-01000-xOpenAlexW4389051283MaRDI QIDQ6181513
Xuerong Mao, Shounian Deng, Chen Fei, Weiyin Fei
Publication date: 2 January 2024
Published in: BIT (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10543-023-01000-x
mathematical financepositivity preservationstrong convergence orderAït-Sahalia model (AIT)backward Euler-Maruya\-ma (BEM) schemeinterest rate dynamics modellingtruncated Euler-Maruyama (TEM) scheme
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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