A non-standard-Euler-Maruyama scheme

DOI10.1080/10236198.2015.1076809MaRDI QIDQ2804523zbMATHOpenAlexFDO

Authors Frédéric Pierret

Publication date 29 April 2016

Published in Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1411.2220

zbMATH Keywords

finite differenceEuler-Maruyamadomain invariancestochastic scheme

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Generation, random and stochastic difference and differential equations (37H10) Simulation of dynamical systems (37M05) Discrete version of topics in analysis (39A12) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference and finite volume methods for ordinary differential equations (65L12) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Abstract: We construct a nonstandard finite difference numerical scheme to approximate stochastic differential equations (SDEs) using the idea of weighed step introduced by R.E. Mickens. We prove the strong convergence of our scheme under locally Lipschitz conditions of a SDE and linear growth condition. We prove the preservation of domain invariance by our scheme under a minimal condition depending on a discretization parameter and unconditionally for the expectation of the approximate solution. The results are illustrated through the geometric Brownian motion. The new scheme shows a greater behavior compared to the Euler-Maruyama scheme and balanced implicit methods which are widely used in the literature and applications.

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Cites work

• scientific article; zbMATH DE number 663936 (Why is no real title available?)
• An algorithmic introduction to numerical simulation of stochastic differential equations
• Balanced Implicit Methods for Stiff Stochastic Systems
• Dynamic consistency: a fundamental principle for constructing nonstandard finite difference schemes for differential equations
• ICIAM/GAMM 95 Applied Stochastics Optimization
• Numerical solution of SDE through computer experiments. Including floppy disk
• Stochastic differential equations. An introduction with applications.

Cited in

(4)

• Non standard finite difference scheme preserving dynamical properties
• Positivity preserving scheme based on exponential integrators
• Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion
• Semi-implicit Euler-Maruyama scheme for polynomial diffusions on the unit ball

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