Positivity preserving truncated scheme for the stochastic Lotka–Volterra model with small moment convergence-Reference-Cited by-同舟云学术

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Positivity preserving truncated scheme for the stochastic Lotka–Volterra model with small moment convergence

Published:2023-04-25 Issue:2 Volume:60 Page:
ISSN:0008-0624
Container-title:Calcolo
language:en
Short-container-title:Calcolo

Author:

Cai Yongmei,Guo Qian,Mao Xuerong

Funder

Zhejiang Natural Science Foundation

National Natural Science Foundation of China

Royal Society Wolfson Research Merit Award

Royal Society of Edinburgh

Shanghai Administration of Foreign Experts Affairs

Publisher

Springer Science and Business Media LLC

Subject

Computational Mathematics,Algebra and Number Theory

Link

https://link.springer.com/content/pdf/10.1007/s10092-023-00521-9.pdf

Reference21 articles.

1. Ait-Sahalia, Y.: Testing continuous-time models of the spot interest rate. Rev. Financ. Stud. 9(2), 385–426 (1996)

2. Anderson, D.F., Higham, D.J., Sun, Y.: Multilevel Monte Carlo for stochastic differential equations with small noise. SIAM J. Numer. Anal. 54(2), 505–529 (2016)

3. Appleby, J.A.D., Guzowska, M., Kelly, C., Rodkina, A.: Preserving positivity in solutions of discretised stochastic differential equations. Appl. Math. Comput. 217(2), 763–774 (2010)

4. Baduraliya, C.H., Mao, X.: The Euler–Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model. Comput. Math. Appl. 64(7), 2209–2223 (2012)

5. Cai, S., Cai, Y., Mao, X.: A stochastic differential equation SIS epidemic model with two independent Brownian motions. J. Math. Anal. Appl. 474(2), 1536–1550 (2019)

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