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

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

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