A boundary preserving numerical scheme for the Wright-Fisher model

DOI10.1016/j.cam.2017.07.011zbMath1372.60099arXiv1704.04227OpenAlexW2964341375MaRDI QIDQ2406295

Ioannis S. Stamatiou

Publication date: 27 September 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.04227

zbMATH Keywords

semi-discrete methodWright-Fisher modelexplicit numerical schemeboundary preserving numerical algorithmnonlinear SDEsstrong approximation error

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Population dynamics (general) (92D25) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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A note on the asymptotic stability of the semi-discrete method for stochastic differential equations ⋮ A new convergence and positivity analysis of balanced Euler method for stochastic age‐dependent population equations ⋮ Strong convergence and stationary distribution of an explicit scheme for the Wright-Fisher model ⋮ The semi-discrete method for the approximation of the solution of stochastic differential equations ⋮ Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model ⋮ Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump ⋮ An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump ⋮ Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion ⋮ Pathwise stability and positivity of semi-discrete approximations of the solution of nonlinear stochastic differential equations

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