Convergence of a exponential tamed method for a general interest rate model

DOI10.1016/J.AMC.2023.128503OpenAlexW4389802850MaRDI QIDQ6131567FDOQ6131567

Authors Gabriel J. Lord, Mengchao Wang

Publication date 18 April 2024

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2023.128503

zbMATH Keywords

splitting methodsstrong convergence rateLamperti transformationait-Sahalia modelexponential tamed method

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(1)

• Unconditionally positivity-preserving explicit Euler-type schemes for a generalized Aït-Sahalia model

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