A non-standard-Euler-Maruyama scheme

DOI10.1080/10236198.2015.1076809zbMATH Open1355.37071arXiv1411.2220OpenAlexW2245788301MaRDI QIDQ2804523FDOQ2804523

Authors: Frédéric Pierret 

Publication date: 29 April 2016

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

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.

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

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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)

Cites Work

• Stochastic differential equations. An introduction with applications.
• Numerical solution of SDE through computer experiments. Including floppy disk
• An algorithmic introduction to numerical simulation of stochastic differential equations
• Title not available (Why is that?)
• 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

Cited In (3)

• 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

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