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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.NA2024
Multilevel Monte Carlo methods for positivity-preserving approximations of the Heston 3/2-model
Xiaojuan Wu, Siqing Gan
This article is concerned with the multilevel Monte Carlo (MLMC) methods for approximating expectations of some functions of the solution to the Heston 3/2-model from mathematical…