Semi-implicit Euler--Maruyama scheme for polynomial diffusions on the unit ball

Abstract

In this article, we consider numerical schemes for polynomial diffusions on the unit ball, which are solutions of stochastic differential equations with a diffusion coefficient of the form $\sqrt{1-|x{|}^2}$. We introduce a semi-implicit Euler--Maruyama scheme with the projection onto the unit ball and provide the $L^2$-rate of convergence. The main idea to consider the numerical scheme is the transformation argument introduced by Swart for proving the pathwise uniqueness for some stochastic differential equation with a non-Lipschitz diffusion coefficient.

arXiv comment19 pages, 10 figures