Preserving positivity in solutions of discretised stochastic differential equations (Q711313)
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scientific article; zbMATH DE number 5804933
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| English | Preserving positivity in solutions of discretised stochastic differential equations |
scientific article; zbMATH DE number 5804933 |
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Preserving positivity in solutions of discretised stochastic differential equations (English)
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25 October 2010
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The maximal number of simulation mesh points required on a finite interval for preserving positive trajectories of the Euler-Maruyama method for discretised linear stochastic differential equations with positive solution with a given probability is estimated.
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Euler-Maruyama method
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numerical discretisation
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stochastic differential equation
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stochastic difference equation
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positive solution
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Monte Carlo simulation
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0.94428295
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0.9029269
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0.9019313
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0.89586955
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0.8944061
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0.8932694
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0.8914714
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