Articlediamond2014

Construction of positivity preserving numerical schemes for some multidimensional stochastic differential equations

18 citations0/0 files storedDiscrete and Continuous Dynamical Systems - B

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Stochastic processes and financial applications Numerical methods for differential equations Differential Equations and Numerical Methods

Abstract

In this note we work on the construction of positive preservingnumerical schemes for a class of multidimensional stochasticdifferential equations. We use the semi discrete idea that we haveproposed before proposing now a numerical scheme that preservespositivity on some multidimensional stochastic differentialequations converging strongly in the mean square sense to the truesolution.

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References

2012Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients 2014Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients 2014First order strong approximations of scalar SDEs defined in a domain 2013Convergence, non-negativity and stability of a new Milstein scheme with applications to finance

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2015Constructing positivity preserving numerical schemes for the two-factor CIR model

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