A novel approach to construct numerical methods for stochastic differential equations

DOI10.1007/s11075-013-9724-9zbMath1298.65013arXiv1303.1621OpenAlexW2148762795MaRDI QIDQ2453472

Nikolaos Halidias

Publication date: 6 June 2014

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

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

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)

Related Items (11)

A note on the asymptotic stability of the semi-discrete method for stochastic differential equations ⋮ Approximating explicitly the mean-reverting CEV process ⋮ On the construction of boundary preserving numerical schemes ⋮ Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations ⋮ Construction of positivity preserving numerical schemes for some multidimensional stochastic differential equations ⋮ Construction of positivity preserving numerical method for stochastic age-dependent population equations ⋮ An explicit and positivity preserving numerical scheme for the mean reverting CEV model ⋮ The semi-discrete method for the approximation of the solution of stochastic differential equations ⋮ A new numerical scheme for the CIR process ⋮ Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations ⋮ An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump

Cites Work

• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Convergence of numerical methods for stochastic differential equations in mathematical finance
• 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
• Semi-discrete approximations for stochastic differential equations and applications
• Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
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