Positivity-preserving numerical schemes for stochastic differential equations

DOI10.1007/S13160-022-00554-7OpenAlexW4309349075MaRDI QIDQ2107475FDOQ2107475

Authors: Keisuke Abiko, Tetsuya Ishiwata 

Publication date: 1 December 2022

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

Full work available at URL: https://doi.org/10.1007/s13160-022-00554-7

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zbMATH Keywords

stochastic differential equationnumerical schemepositivity-preserving scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Construction of positivity preserving numerical schemes for some multidimensional stochastic differential equations
• Semi-discrete approximations for stochastic differential equations and applications
• First order strong approximations of scalar SDEs defined in a domain
• Numerical Analysis of Stochastic Differential Equations with Explosions
• Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance
• Explosion time in stochastic differential equations with small diffusion
• Adaptive timestepping for pathwise stability and positivity of strongly discretised nonlinear stochastic differential equations
• Finite-difference modeling à la Mickens of the distribution of the stopping time in a stochastic differential equation
• Numerical and mathematical analysis of blow-up problems for a stochastic differential equation

Cited In (10)

• High-order finite difference WENO schemes with positivity-preserving limiter for correlated random walk with density-dependent turning rates
• Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations
• Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
• Positivity-Preserving Numerical Schemes for Lubrication-Type Equations
• Structure-Preserving Numerical Methods for Stochastic Poisson Systems
• Preserving positivity in solutions of discretised stochastic differential equations
• Construction of positivity preserving numerical schemes for some multidimensional stochastic differential equations
• Positivity preserving exponential integrators for differential Riccati equations
• Positivity-preserving numerical method for a stochastic multi-group SIR epidemic model
• Positivity Preserving Numerical Method for Non-linear Black-Scholes Models

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