On construction of boundary preserving numerical schemes

2016/01/28 by Nikolaos Halidias, Halidias, Nikolaos
Computer Science · Engineering · Mathematics · #Advanced Mathematical Modeling in Engineering #Advanced Numerical Methods in Computational Mathematics #Computational Finance (q-fin.CP) #Differential Equations and Numerical Methods #FOS: Economics and business #FOS: Mathematics #Numerical Analysis (math.NA)

paper · pdf · doi:10.48550/arxiv.1601.07864

openalex publication_date 2016/01/28 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

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