Construction of positivity preserving numerical schemes for some   multidimensional stochastic differential equations

Nikolaos Halidias

doi:10.3934/dcdsb.2015.20.153

Article Contents

2015, Volume 20, Issue 1: 153-160. Doi: 10.3934/dcdsb.2015.20.153

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Construction of positivity preserving numerical schemes for some multidimensional stochastic differential equations

Nikolaos Halidias^1,

1.
Department of Mathematics, University of the Aegean, Karlovassi 83200 Samos

Received: September 30, 2013

Revised: March 31, 2014

Published: December 2014

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Abstract

In this note we work on the construction of positive preserving numerical schemes for a class of multidimensional stochastic differential equations. We use the semi discrete idea that we have proposed before proposing now a numerical scheme that preserves positivity on some multidimensional stochastic differential equations converging strongly in the mean square sense to the true solution.

Keywords:

Mathematics Subject Classification: Primary: 60H10, 60H35.

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References

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