Positivity preserving stochastic -methods for selected SDEs
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Publication:2058409
DOI10.1016/J.APNUM.2021.10.017zbMATH Open1484.65018OpenAlexW3209574804MaRDI QIDQ2058409FDOQ2058409
Authors: Carmela Scalone 
Publication date: 9 December 2021
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2021.10.017
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Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cited In (16)
- Numerical conservation issues for the stochastic Korteweg-de Vries equation
- Variable stepsize multivalue collocation methods
- Positivity-preserving truncated Euler-Maruyama method for generalised Ait-Sahalia-type interest model
- Numerical conservation issues for jump Pearson diffusions
- On the conservative character of discretizations to Itô-Hamiltonian systems with small noise
- Positivity preserving truncated Euler-Maruyama method for stochastic Lotka-Volterra competition model
- Implicit Milstein schemes: preservation of properties when solving the CIR equation
- Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
- Preserving positivity in solutions of discretised stochastic differential equations
- Construction of positivity preserving numerical schemes for some multidimensional stochastic differential equations
- A long term analysis of stochastic theta methods for mean reverting linear process with jumps
- Construction of positivity preserving numerical method for jump-diffusion option pricing models
- Positivity and boundedness preserving numerical scheme for the stochastic epidemic model with square-root diffusion term
- A positivity preserving numerical method for stochastic R\&D model
- Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations
- Positivity-preserving numerical schemes for stochastic differential equations
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