Adaptive timestepping for pathwise stability and positivity of strongly discretised nonlinear stochastic differential equations

DOI10.1016/j.cam.2017.11.027zbMath1385.37070arXiv1706.03098OpenAlexW2626308877MaRDI QIDQ1689436

Cónall Kelly, Eeva Maria Rapoo, Aleksandra Rodkina

Publication date: 12 January 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.03098

zbMATH Keywords

locally Lipschitz coefficientsEuler-Maruyama methodadaptive timestepping

Mathematics Subject Classification ID

Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic difference equations (39A50)

Related Items

The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model, Numerical and mathematical analysis of blow-up problems for a stochastic differential equation, Adaptive Euler methods for stochastic systems with non-globally Lipschitz coefficients, Pathwise stability and positivity of semi-discrete approximations of the solution of nonlinear stochastic differential equations, Positivity-preserving numerical schemes for stochastic differential equations

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