Boundary preserving explicit scheme for the Aït-Sahalia mode (Q2083320)
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English | Boundary preserving explicit scheme for the Aït-Sahalia mode |
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Boundary preserving explicit scheme for the Aït-Sahalia mode (English)
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10 October 2022
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The authors of this study put out an explicit numerical approach that would first approximate the original stochastic differential equation's Lamperti transformation before reversing it. The major findings concerning the strong convergence feature of the suggested numerical approach are then stated and supported by proofs by the authors. Finally, numerical studies that support theoretical findings.
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explicit numerical scheme
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semi-discrete method
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non-linear stochastic differential equations
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Aït-Sahalia model
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