Positivity preserving stochastic \(\theta\)-methods for selected SDEs
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Publication:2058409
DOI10.1016/j.apnum.2021.10.017zbMath1484.65018OpenAlexW3209574804MaRDI QIDQ2058409
Publication date: 9 December 2021
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2021.10.017
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (6)
On the conservative character of discretizations to Itô-Hamiltonian systems with small noise ⋮ Numerical conservation issues for the stochastic Korteweg-de Vries equation ⋮ A long term analysis of stochastic theta methods for mean reverting linear process with jumps ⋮ Variable stepsize multivalue collocation methods ⋮ Numerical conservation issues for jump Pearson diffusions ⋮ Positivity-preserving truncated Euler-Maruyama method for generalised Ait-Sahalia-type interest model
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