Semi-implicit Euler--Maruyama scheme for polynomial diffusions on the unit ball

DOI10.1016/j.jmaa.2022.126829zbMath1518.65014arXiv2104.03468MaRDI QIDQ6364786

Takuya Nakagawa, Dai Taguchi, Tomooki Yuasa

Publication date: 7 April 2021

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)