Semi-implicit Euler--Maruyama scheme for polynomial diffusions on the unit ball

DOI10.1016/J.JMAA.2022.126829arXiv2104.03468MaRDI QIDQ6364786FDOQ6364786

Authors Takuya Nakagawa, Dai Taguchi, Tomooki Yuasa

Publication date 7 April 2021

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)

Abstract: In this article, we consider numerical schemes for polynomial diffusions on the unit ball, which are solutions of stochastic differential equations with a diffusion coefficient of the form $sqrt1-|x{|}^2$. We introduce a semi-implicit Euler--Maruyama scheme with the projection onto the unit ball and provide the $L^2$-rate of convergence. The main idea to consider the numerical scheme is the transformation argument introduced by Swart for proving the pathwise uniqueness for some stochastic differential equation with a non-Lipschitz diffusion coefficient.

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