Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations

DOI10.1016/j.cnsns.2021.105895zbMath1492.60179arXiv2010.16321OpenAlexW3096748962WikidataQ115358564 ScholiaQ115358564MaRDI QIDQ2038153

Jingjun Zhao, Yulian Yi, Yaozhong Hu

Publication date: 9 July 2021

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.16321

zbMATH Keywords

strong convergencealmost sure convergenceexponential integrabilitypositivity preserving

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (7)

An advanced numerical scheme for multi-dimensional stochastic Kolmogorov equations with superlinear coefficients ⋮ A positivity preserving Lamperti transformed Euler-Maruyama method for solving the stochastic Lotka-Volterra competition model ⋮ A higher order positivity preserving scheme for the strong approximations of a stochastic epidemic model ⋮ Positivity-preserving truncated Euler-Maruyama method for generalised Ait-Sahalia-type interest model ⋮ Strong convergence and extinction of positivity preserving explicit scheme for the stochastic SIS epidemic model ⋮ Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions ⋮ A positivity-preserving numerical algorithm for stochastic age-dependent population system with Lévy noise in a polluted environment

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