On construction of boundary preserving numerical schemes

Nikolaos Halidias

Papers from arXiv.org

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.

Date: 2016-01, Revised 2016-02
New Economics Papers: this item is included in nep-cmp
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