6 citations · 11 across the 3 of their papers we have counts for
4 papers
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…
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…
Unconditionally positivity-preserving approximations of the Ait-Sahalia type model: Explicit Milstein-type schemes
Yingsong Jiang, Ruishu Liu, Xiaojie Wang +1
The present article aims to design and analyze efficient first-order strong schemes for a generalized Aït-Sahalia type model arising in mathematical finance and evolving in a posit…
Unconditionally positivity-preserving explicit Euler-type schemes for a generalized Ait-Sahalia model
Ruishu Liu, Yulin Cao, Xiaojie Wang
The present work is devoted to strong approximations of a generalized Aït-Sahalia model arising from mathematical finance. The numerical study of the considered model faces essenti…