Boundary preserving semianalytic numerical algorithms for stochastic differential equations

SIAM Journal on Scientific Computing

Volumn 29, Issue 4, 2007, Pages 1525-1549

  Moro, Esteban ^a   Schurz, Henri ^b  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

^b Southern Illinois University at Carbondale   (United States)

Author keywords

Absorbing boundary; Convergence; Nonnegativity; Numerical methods; Simulation; Splitting step algorithm; Stochastic differential equations; Superbrownian motion

Indexed keywords

BROWNIAN MOVEMENT; CONVERGENCE OF NUMERICAL METHODS; FINANCIAL MARKETS; STOCHASTIC MODELS;

ABSORBING BOUNDARIES; CONVERGENCE; NON-NEGATIVITY; NUMERICAL ALGORITHMS; SIMULATION; SPLITTING-STEP ALGORITHM; SPLITTINGS; STEP ALGORITHMS; STOCHASTIC DIFFERENTIAL EQUATIONS; SUPER-BROWNIAN MOTION;

STOCHASTIC SYSTEMS;

EID: 41949120331     PISSN: 10648275     EISSN: None     Source Type: Journal    
DOI: 10.1137/05063725X     Document Type: Article

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