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

zbMATH Keywords

semi-discrete methodexplicit numerical schemeAït-Sahalia modelnon-linear stochastic differential equations

Mathematics Subject Classification ID

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
• Property and numerical simulation of the Ait-Sahalia-Rho model with nonlinear growth conditions
• Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
• First order strong approximations of scalar SDEs defined in a domain
• Numerical solution of SDE through computer experiments. Including floppy disk
• The semi-discrete method for the approximation of the solution of stochastic differential equations
• On the discrete analogues of some generalizations of Gronwall's inequality
• Semi-discrete approximations for stochastic differential equations and applications