Boundary preserving explicit scheme for the Aït-Sahalia mode (Q2083320)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Boundary preserving explicit scheme for the Aït-Sahalia mode
scientific article

    Statements

    Boundary preserving explicit scheme for the Aït-Sahalia mode (English)
    0 references
    0 references
    0 references
    10 October 2022
    0 references
    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.
    0 references
    explicit numerical scheme
    0 references
    semi-discrete method
    0 references
    non-linear stochastic differential equations
    0 references
    Aït-Sahalia model
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references