A boundary preserving numerical algorithm for the Wright-Fisher model with mutation (Q438725)
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scientific article; zbMATH DE number 6062476
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| English | A boundary preserving numerical algorithm for the Wright-Fisher model with mutation |
scientific article; zbMATH DE number 6062476 |
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A boundary preserving numerical algorithm for the Wright-Fisher model with mutation (English)
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31 July 2012
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The paper is devoted to numerical integration of the equation \[ dY=(A-(A+B)Y)dt+\sqrt{Y(1-Y)}dw(t),\;A>0,\;B>0, \] describing the Wright-Fisher model. Any solution of the equation remains within the interval \([0,1]\) for all time. The authors propose a novel numerical method that ensures approximations remain within \([0,1]\) as well. Strong convergence of the method is proved. The method is extended to a multidimensional case.
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Wright-Fisher model
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stochastic differential equations
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boundary preserving numerical algorithm
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strong convergence
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0.8577791452407837
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0.7511637210845947
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0.7486557364463806
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0.742789626121521
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0.7418554425239563
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