Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations (Q2038153)
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English | Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations |
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Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations (English)
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9 July 2021
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In this paper, the authors consider the problem of the numerical solution of the following scalar stochastic differential equation \[ dx(t) = b(x(t))dt +\sigma(x(t))dW(t), \] where \(b\) and \(\sigma\) are locally Lipschitz continuous functions. The aim of this paper is to propose a class of explicit positivity preserving numerical methods for the above general class of stochastic differential equations which have positive solutions.
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positivity preserving
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exponential integrability
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almost sure convergence
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strong convergence
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