Semi-implicit Euler-Maruyama scheme for polynomial diffusions on the unit ball

DOI10.1016/j.jmaa.2022.126829OpenAlexW4287238216MaRDI QIDQ2102112

Tomooki Yuasa, Dai Taguchi, Takuya Nakagawa

Publication date: 28 November 2022

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.03468

zbMATH Keywords

degenerate and Hölder continuous diffusion coefficientpolynomial diffusions on the unit ballsemi-implicit Euler-Maruyama scheme

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Actuarial science and mathematical finance (91Gxx) Probabilistic methods, stochastic differential equations (65Cxx)

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