The solutions of stochastic differential equations arising in biology, finance and so on often have positivity. However, numerical solutions by the standard schemes often fail to satisfy this property. In this paper, we propose positivity-preserving numerical schemes for stochastic differential equations by virtue of Itô’s formula. We also show the convergence result of the proposed scheme and demonstrate their effectiveness by numerical examples.
|ジャーナル||Japan Journal of Industrial and Applied Mathematics|
|出版ステータス||Published - 2022 12月|
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