Positivity preserving stochastic \(\theta\)-methods for selected SDEs (Q2058409)

!

This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:

Positivity preserving stochastic \(\theta\)-methods for selected SDEs

scientific article; zbMATH DE number 7441560

Language	Label	Description	Also known as
default for all languages	No label defined
English	Positivity preserving stochastic \(\theta\)-methods for selected SDEs	scientific article; zbMATH DE number 7441560

Statements

instance of

scholarly article

0 references

title

Positivity preserving stochastic \(\theta\)-methods for selected SDEs (English)

0 references

author

Carmela Scalone

0 references

published in

Applied Numerical Mathematics

0 references

publication date

9 December 2021

0 references

zbMATH Keywords

stochastic differential equations

0 references

positivity preservation

0 references

\(\theta\)-methods

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1016/j.apnum.2021.10.017

0 references

cites work

Q4230136

0 references

First and second moment reversion for a discretized square root process with jumps

0 references

On the numerical structure preservation of nonlinear damped stochastic oscillators

0 references

Two-step Runge-Kutta methods for stochastic differential equations

0 references

Filon quadrature for stochastic oscillators driven by time-varying forces

0 references

Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation

0 references

Computing low-rank rightmost eigenpairs of a class of matrix-valued linear operators

0 references

Computing the closest real normal matrix and normal completion

0 references

An efficient method for non-negative low-rank completion

0 references

Geometric Numerical Integration

0 references

Mean-Square and Asymptotic Stability of the Stochastic Theta Method

0 references

Convergence and stability of implicit methods for jump-diffusion systems

0 references

Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance

0 references

Q4730687

0 references

Convergence and stability of the balanced methods for stochastic differential equations with jumps

0 references

A third-order unconditionally positivity-preserving scheme for production-destruction equations with applications to non-equilibrium flows

0 references

Structure preserving stochastic integration schemes in interest rate derivative modeling

0 references

A second-order positivity preserving numerical method for gamma equation

0 references

Global asymptotic properties of a stochastic model of population growth

0 references

Nonlinear systems of partial differential equations. Applications to life physical sciences

0 references

Positivity of solution of nonhomogeneous stochastic differential equation with non-Lipschitz diffusion

0 references

A gradient system for low rank matrix completion

0 references

Q4718663

0 references

Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model

0 references

Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition

0 references

Existence and approximation of strong solutions of SDEs with fractional diffusion coefficients

0 references

Construction of positivity preserving numerical method for jump-diffusion option pricing models

0 references

Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model

0 references

Positivity-Preserving Numerical Schemes for Lubrication-Type Equations

0 references

Identifiers

zbMATH Open document ID

1484.65018

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

10.1016/J.APNUM.2021.10.017

0 references

Sitelinks

Mathematics(1 entry)

mardi Positivity preserving stochastic \(\theta\)-methods for selected SDEs