On the construction of boundary preserving numerical schemes

DOI10.1515/mcma-2016-0113zbMath1351.60072arXiv1601.07864OpenAlexW2282535316MaRDI QIDQ350284

Nikolaos Halidias

Publication date: 7 December 2016

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.07864

zbMATH Keywords

Ait-Sahalia modelboundary preservingexplicit numerical scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (2)

The semi-discrete method for the approximation of the solution of stochastic differential equations ⋮ Boundary preserving explicit scheme for the Aït-Sahalia mode

Cites Work

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