On construction of boundary preserving numerical schemes

Abstract

Our aim in this note is to extend the semi discrete technique by combine it with the split step method. We apply our new method to the Ait-Sahalia model and propose an explicit and positivity preserving numerical scheme.

References in corpus (2)

• On stochastic differential equations with arbitrary slow convergence rates for strong approximation
• Strong convergence rates and temporal regularity for Cox-Ingersoll-Ross processes and Bessel processes with accessible boundaries