The improved split-step θ methods for stochastic differential equation

DOI10.1002/mma.2972zbMath1301.60083OpenAlexW2099470769MaRDI QIDQ2931022

Hongqun Li, Qian Guo, Ying Zhu

Publication date: 21 November 2014

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.2972

zbMATH Keywords

stochastic differential equationnumerical methodCox-Ingersoll-Ross modelmean-square stabilitypositivity-preservingHamiltonian-preserving

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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