A positivity preserving Milstein-type method for stochastic differential equations with positive solutions

DOI10.1016/J.CAM.2024.115963MaRDI QIDQ6572445FDOQ6572445

Authors: Xingwei Hu, Mengjie Wang, Xinjie Dai, Yanyan Yu, Aiguo Xiao 

Publication date: 15 July 2024

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

positive solutionsstochastic differential equationsstrong convergencepositivity preservingMilstein-type method

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) 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)

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Cited In (1)

• An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence

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