Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations

DOI10.1137/05063725XzbMath1149.65008arXivmath/0509724OpenAlexW2033980839MaRDI QIDQ3516096

Publication date: 1 August 2008

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0509724

zbMATH Keywords

convergence numerical examples stochastic differential equations stochastic dynamics super-Brownian motion mathematical finance nonnegativity absorbing boundary splitting-step algorithm

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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