Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion (Q2074883)
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scientific article
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| English | Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion |
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Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion (English)
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11 February 2022
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GARCH model
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Feller's boundary classification
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numerical splitting schemes
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log-ODE method
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boundary preservation
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moment preservation
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0.7256049513816833
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0.7014862895011902
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0.6976256966590881
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