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- W4285205561 abstract "<p style='text-indent:20px;'>We are interested in the numerical approximation of solutions of nonlinear stochastic differential equations, that appear in financial mathematics. Here, we study the Aït-Sahalia model. We propose an explicit numerical scheme where we actually approximate the Lamperti transformation of the original stochastic differential equation and then transform back. The proposed method is domain preserving and is proven to converge strongly to the solution process with order at least <inline-formula><tex-math id=M1>begin{document}$ 1 $end{document}</tex-math></inline-formula> with no extra restrictions on the step-size <inline-formula><tex-math id=M2>begin{document}$ Delta $end{document}</tex-math></inline-formula>. Numerical experiments verify the theoretical results.</p>" @default.
- W4285205561 created "2022-07-14" @default.
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- W4285205561 date "2023-01-01" @default.
- W4285205561 modified "2023-09-25" @default.
- W4285205561 title "Boundary preserving explicit scheme for the Aït-Sahalia mode" @default.
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- W4285205561 doi "https://doi.org/10.3934/dcdsb.2022092" @default.
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