On the construction of boundary preserving numerical schemes (Q350284): Difference between revisions

@@ Property / OpenAlex ID @@
+W2282535316
@@ Property / OpenAlex ID: W2282535316 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.07864
@@ Property / arXiv ID: 1601.07864 / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric Pricing of Interest Rate Derivative Securities
+Normal rank
@@ Property / cites work @@
+A boundary preserving numerical algorithm for the Wright-Fisher model with mutation
+Normal rank
@@ Property / cites work @@
+Semi-discrete approximations for stochastic differential equations and applications
+Normal rank
@@ Property / cites work @@
+A novel approach to construct numerical methods for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A new numerical scheme for the CIR process
@@ Property / cites work: A new numerical scheme for the CIR process / rank @@
+Normal rank
@@ Property / cites work @@
+An explicit and positivity preserving numerical scheme for the mean reverting CEV model
+Normal rank
@@ Property / cites work @@
+Constructing positivity preserving numerical schemes for the two-factor CIR model
+Normal rank
@@ Property / cites work @@
+Construction of positivity preserving numerical schemes for some multidimensional stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Approximating explicitly the mean-reverting CEV process
+Normal rank
@@ Property / cites work @@
+On the numerical solution of some non-linear stochastic differential equations using the semi-discrete method
+Normal rank
@@ Property / cites work @@
+Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+On stochastic differential equations with arbitrary slow convergence rates for strong approximation
+Normal rank
@@ Property / cites work @@
+Balanced Milstein Methods for Ordinary SDEs
@@ Property / cites work: Balanced Milstein Methods for Ordinary SDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Balanced Implicit Methods for Stiff Stochastic Systems
+Normal rank
@@ Property / cites work @@
+Q4826106
@@ Property / cites work: Q4826106 / rank @@
+Normal rank
@@ Property / cites work @@
+Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+First order strong approximations of scalar SDEs defined in a domain
+Normal rank
@@ Property / cites work @@
+Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
+Normal rank