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math.NA2022
Convergence of a splitting method for a general interest rate model
Gabriel Lord Mengchao Wang
We prove mean-square convergence of a novel numerical method, the tamed-splitting method, for a generalized Ait-Sahalia interest rate model. The method is based on a Lamperti trans…
math.NA2022★ 1 cited
Piecewise linear interpolation of noise in finite element approximations of parabolic SPDEs
Gabriel Lord, Andreas Petersson
Efficient simulation of stochastic partial differential equations (SPDE) on general domains requires noise discretization. This paper employs piecewise linear interpolation of nois…