A non-standard-Euler–Maruyama scheme

DOI10.1080/10236198.2015.1076809zbMath1355.37071arXiv1411.2220OpenAlexW2245788301MaRDI QIDQ2804523

Frédéric Pierret

Publication date: 29 April 2016

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.2220

zbMATH Keywords

finite differenceEuler-Maruyamadomain invariancestochastic scheme

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stability and convergence of numerical methods for ordinary differential equations (65L20) Discrete version of topics in analysis (39A12) Generation, random and stochastic difference and differential equations (37H10) Numerical solutions to stochastic differential and integral equations (65C30) Simulation of dynamical systems (37M05) Finite difference and finite volume methods for ordinary differential equations (65L12)

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Non standard finite difference scheme preserving dynamical properties ⋮ Positivity preserving scheme based on exponential integrators ⋮ Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion

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