Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations
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Publication:2038153
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)
Abstract: In this paper, we propose a class of explicit positivity preserving numerical methods for general stochastic differential equations which have positive solutions. Namely, all the numerical solutions are positive. Under some reasonable conditions, we obtain the convergence and the convergence rate results for these methods. The main difficulty is to obtain the strong convergence and the convergence rate for stochastic differential equations whose coefficients are of exponential growth. Some numerical experiments are provided to illustrate the theoretical results for our schemes.
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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