Preserving positivity in solutions of discretised stochastic differential equations

DOI10.1016/j.amc.2010.06.015zbMath1208.65013OpenAlexW2109948727MaRDI QIDQ711313

Małgorzata Guzowska, John A. D. Appleby, Cónall Kelly, Aleksandra Rodkina

Publication date: 25 October 2010

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

Full work available at URL: https://doi.org/10.1016/j.amc.2010.06.015

zbMATH Keywords

stochastic differential equationpositive solutionMonte Carlo simulationstochastic difference equationEuler-Maruyama methodnumerical discretisation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (17)

Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model ⋮ Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching ⋮ The truncated \(\theta \)-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations ⋮ Construction of positivity preserving numerical method for jump-diffusion option pricing models ⋮ Positivity preserving truncated scheme for the stochastic Lotka-Volterra model with small moment convergence ⋮ An advanced numerical scheme for multi-dimensional stochastic Kolmogorov equations with superlinear coefficients ⋮ Adaptive timestepping for pathwise stability and positivity of strongly discretised nonlinear stochastic differential equations ⋮ Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations ⋮ Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations ⋮ Construction of positivity preserving numerical method for stochastic age-dependent population equations ⋮ The truncated Euler-Maruyama method for stochastic differential equations ⋮ The semi-discrete method for the approximation of the solution of stochastic differential equations ⋮ Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model ⋮ A positivity preserving numerical method for stochastic R\&D model ⋮ Numerical analysis of the balanced implicit method for stochastic age-dependent capital system with Poisson jumps ⋮ Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps ⋮ Study on split-step Rosenbrock type method for stiff stochastic differential systems

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• One case of appearance of positive solutions of delayed discrete equations.
• Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
• Remark on positive solutions of discrete equation \(\Delta u(k+n)=-p(k)u(k)\)
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Stochastic stabilization and destabilization
• Almost sure exponential stability of neutral stochastic differential difference equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Stabilization and Destabilization of Nonlinear Differential Equations by Noise
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations

This page was built for publication: Preserving positivity in solutions of discretised stochastic differential equations