A positivity preserving Milstein-type method for stochastic differential equations with positive solutions

DOI10.1016/J.CAM.2024.115963MaRDI QIDQ6572445

Aiguo Xiao, Mengjie Wang, Xingwei Hu, Xinjie Dai, Yanyan Yu

Publication date: 15 July 2024

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

zbMATH Keywords

strong convergencepositive solutionsstochastic differential equationspositivity preservingMilstein-type method

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) 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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