Positivity-preserving numerical schemes for stochastic differential equations

DOI10.1007/s13160-022-00554-7OpenAlexW4309349075MaRDI QIDQ2107475

Tetsuya Ishiwata, Keisuke Abiko

Publication date: 1 December 2022

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-022-00554-7

zbMATH Keywords

stochastic differential equationnumerical schemepositivity-preserving scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Unnamed Item
• Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance
• Construction of positivity preserving numerical schemes for some multidimensional stochastic differential equations
• First order strong approximations of scalar SDEs defined in a domain
• Numerical and mathematical analysis of blow-up problems for a stochastic differential equation
• Adaptive timestepping for pathwise stability and positivity of strongly discretised nonlinear stochastic differential equations
• Semi-discrete approximations for stochastic differential equations and applications
• Finite-difference modeling à la Mickens of the distribution of the stopping time in a stochastic differential equation
• Numerical Analysis of Stochastic Differential Equations with Explosions

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