2 papers
math.NA2025
Unconditionally positivity-preserving explicit order-one strong approximations of financial SDEs with non-Lipschitz coefficients
Xiaojuan Wu, Ruishu Liu, Jiahao Xu
In this paper, we are interested in positivity-preserving approximations of stochastic differential equations (SDEs) with non-Lipschitz coefficients, arising from computational fin…
math.NA2025
Explicit modified Euler approximations of the Aït-Sahalia type model with Poisson jumps
Yingsong Jiang, Ruishu Liu, Minhong Xu
This paper focuses on mean-square approximations of a generalized Aït-Sahalia interest rate model with Poisson jumps. The main challenge in the construction and analysis of time-di…