Timeline for Do we need Feller condition if the process jumps?

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May 25, 2016 at 5:43	comment	added	Hans		But this answer does not touch on the effect of jumps on the Feller condition in terms whether the probability of reaching zero is positive at all.
Dec 18, 2014 at 13:26	history	edited	Hicham	CC BY-SA 3.0	deleted 6 characters in body
Dec 18, 2014 at 5:42	comment	added	Stephan Sturm		I agree with this, only that the process can become numerically negative even in the case that Feller's condition is satisfied. An alternative way to circumvent this (due to Alfonsi, cermics.enpc.fr/~alfonsi/SC_preprint.pdf) is to rewrite the Ito Integrals into Stratonovich integrals and discretize only then. This leads to an implicit FD scheme that can even be turned into an explicit one if Feller's condition is satisfied.
Dec 17, 2014 at 20:46	history	edited	Hicham	CC BY-SA 3.0	deleted 4 characters in body
Dec 17, 2014 at 16:48	comment	added	Hicham		Yes, It's corrected now. You're welcome.
Dec 17, 2014 at 16:47	history	edited	Hicham	CC BY-SA 3.0	added 6 characters in body
Dec 17, 2014 at 15:08	vote	accept	Gabriele Pompa
Dec 17, 2014 at 15:08	comment	added	Gabriele Pompa		This helps a lot! Thank you! (by the way, you meant dv = k theta at the time at which v=0, right?)
Dec 17, 2014 at 14:26	history	answered	Hicham	CC BY-SA 3.0