A novel approach to construct numerical methods for stochastic differential equations

DOI10.1007/S11075-013-9724-9zbMATH Open1298.65013arXiv1303.1621OpenAlexW2148762795MaRDI QIDQ2453472FDOQ2453472

Authors: Nikolaos Halidias 

Publication date: 6 June 2014

Published in: Numerical Algorithms (Search for Journal in Brave)

Abstract: In this paper we propose a new numerical method for solving stochastic differential equations (SDEs). As an application of this method we propose an explicit numerical scheme for a super linear SDE for which the usual Euler scheme diverges.

Full work available at URL: https://arxiv.org/abs/1303.1621

Recommendations

• Convergence of numerical schemes for stochastic differential equations
• Exact difference schemes for stochastic differential equations
• Semi-discrete approximations for stochastic differential equations and applications
• scientific article; zbMATH DE number 4003481
• scientific article; zbMATH DE number 5257362

zbMATH Keywords

explicit numerical schemesuper linear stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• Strong convergence rates for backward Euler-Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
• Semi-discrete approximations for stochastic differential equations and applications
• Convergence of numerical methods for stochastic differential equations in mathematical finance

Cited In (22)

• An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump
• A note on the asymptotic stability of the semi-discrete method for stochastic differential equations
• A new numerical scheme for a class of reflected stochastic differential equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• A new solution method for stochastic differential equations via collocation approach
• Computing survival probabilities based on stochastic differential models
• Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations
• A semi-discretization method for delayed stochastic systems
• A numerical method for some stochastic differential equations with multiplicative noise
• The semi-discrete method for the approximation of the solution of stochastic differential equations
• On the construction of boundary preserving numerical schemes
• Construction of positivity preserving numerical schemes for some multidimensional stochastic differential equations
• An explicit and positivity preserving numerical scheme for the mean reverting CEV model
• A new numerical scheme for the CIR process
• A method for the calculation of characteristics for the solution to stochastic differential equations
• Exact difference schemes for stochastic differential equations
• On the numerical solution of some non-linear stochastic differential equations using the semi-discrete method
• Title not available (Why is that?)
• Construction of positivity preserving numerical method for stochastic age-dependent population equations
• Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations
• Approximating explicitly the mean-reverting CEV process

This page was built for publication: A novel approach to construct numerical methods for stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2453472)