The semi-discrete method for the approximation of the solution of stochastic differential equations (Q1982270)

scientific article; zbMATH DE number 7392158

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English	The semi-discrete method for the approximation of the solution of stochastic differential equations	scientific article; zbMATH DE number 7392158

Statements

instance of

scholarly article

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title

The semi-discrete method for the approximation of the solution of stochastic differential equations (English)

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author

Ioannis S. Stamatiou

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publication date

7 September 2021

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1007/978-3-030-72563-1_23

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cites work

Preserving positivity in solutions of discretised stochastic differential equations

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Mathematical population genetics. I: Theoretical introduction.

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A novel approach to construct numerical methods for stochastic differential equations

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

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

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A new numerical scheme for the CIR process

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An explicit and positivity preserving numerical scheme for the mean reverting CEV model

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On the construction of boundary preserving numerical schemes

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Approximating explicitly the mean-reverting CEV process

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On the numerical solution of some non-linear stochastic differential equations using the semi-discrete method

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Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

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Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

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Structure preserving stochastic integration schemes in interest rate derivative modeling

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Q4039796

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Convergence of numerical methods for stochastic differential equations in mathematical finance

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Q5429735

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Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients

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Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients

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Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients

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A boundary preserving numerical scheme for the Wright-Fisher model

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An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump

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Convergence rates of the Semi-Discrete method for stochastic differential equations

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A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications

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Identifiers

zbMATH Open document ID

1477.65025

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DOI

10.1007/978-3-030-72563-1_23

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1982270