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On the construction of boundary preserving numerical schemes

  • Nikolaos Halidias EMAIL logo
Published/Copyright: October 9, 2016

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.

MSC 2010: 60H10; 60H35

References

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Received: 2016-3-22
Accepted: 2016-9-20
Published Online: 2016-10-9
Published in Print: 2016-12-1

© 2016 by De Gruyter

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