CONSTRUCTION OF POSITIVITY PRESERVING NUMERICAL SCHEMES FOR SOME MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS

被引：13

作者：

Halidias, Nikolaos ^{[1
]}

机构：

[1] Univ Aegean, Dept Math, Karlovassi 83200, Samos, Greece

来源：

DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B | 2015年 / 20卷 / 01期

关键词：

Explicit numerical scheme; multidimensional super linear stochastic differential equations; positivity preserving; stochastic Predator-Prey model; STRONG-CONVERGENCE; SDES;

D O I：

10.3934/dcdsb.2015.20.153

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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.

引用

页码：153 / 160

页数：8

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