Boundary-preserving Lamperti-splitting schemes for some stochastic differential equations

DOI10.3934/jcd.2024015MaRDI QIDQ6500013

Johan E. M. Ulander

Publication date: 10 May 2024

Published in: Journal of Computational Dynamics (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationsLamperti transform\(L^{p}(\Omega)\)-convergenceboundary-preserving numerical schemeLie-Trotter splitting scheme

Mathematics Subject Classification ID

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

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