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An Efficient Numerical Scheme for Simulation of Mean-reverting Square-root Diffusions

An efficient numerical scheme, which is based on the splitting-step idea (20), for simulation of mean-reverting square-root diffusions is presented in this paper. We prove positivity preservation for this scheme and an estimate of its local error in the second moment. A series of numerical experiments based on MATLAB programs is given to compare the suggested scheme with the schemes of the balanced implicit method (BIM) and the balanced Milstein method (BMM), which are reported in (15, 16, 19).