The Semi-discrete Method for the Approximation of the Solution of Stochastic Differential Equations

Ioannis S. Stamatiou ()
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Ioannis S. Stamatiou: University of West Attica

A chapter in Nonlinear Analysis, Differential Equations, and Applications, 2021, pp 625-638 from Springer

Abstract: Abstract We study the numerical approximation of the solution of stochastic differential equations (SDEs) that do not follow the standard smoothness assumptions. In particular, we focus on SDEs that admit solutions which take values in a certain domain; examples of these equations appear in various fields of application such as mathematical finance and natural sciences among others, where the quantity of interest may be the interest rate, which takes non-negative values, or the population dynamics which takes values between zero and one. We review the Semi-Discrete method (SD), a numerical method that has the qualitative feature of domain preservation among other desirable properties.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:spochp:978-3-030-72563-1_23

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DOI: 10.1007/978-3-030-72563-1_23

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