Positivity preserving stochastic -methods for selected SDEs

DOI10.1016/J.APNUM.2021.10.017MaRDI QIDQ2058409zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stochastic differential equations\(\theta\)-methodspositivity preservation

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

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• scientific article; zbMATH DE number 954636 (Why is no real title available?)
• scientific article; zbMATH DE number 4115838 (Why is no real title available?)
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• Nonlinear systems of partial differential equations. Applications to life physical sciences
• Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
• On the numerical structure preservation of nonlinear damped stochastic oscillators
• Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model
• Positivity of solution of nonhomogeneous stochastic differential equation with non-Lipschitz diffusion
• Positivity-Preserving Numerical Schemes for Lubrication-Type Equations
• Structure preserving stochastic integration schemes in interest rate derivative modeling
• Two-step Runge-Kutta methods for stochastic differential equations

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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