Positivity-preserving numerical schemes for stochastic differential equations

Keisuke Abiko; Tetsuya Ishiwata

doi:10.1007/s13160-022-00554-7

Positivity-preserving numerical schemes for stochastic differential equations

研究成果: Article › 査読

抄録

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.

本文言語	English
ページ（範囲）	1095-1108
ページ数	14
ジャーナル	Japan Journal of Industrial and Applied Mathematics
巻	39
号	3
DOI	https://doi.org/10.1007/s13160-022-00554-7
出版ステータス	Published - 2022 12月

ASJC Scopus subject areas

工学（全般）
応用数学

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10.1007/s13160-022-00554-7

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abstract = "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 It{\^o}{\textquoteright}s formula. We also show the convergence result of the proposed scheme and demonstrate their effectiveness by numerical examples.",

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author = "Keisuke Abiko and Tetsuya Ishiwata",

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Positivity-preserving numerical schemes for stochastic differential equations

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