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math.NA2023
Boundary-preserving Lamperti-splitting schemes for some Stochastic Differential Equations
Johan Ulander
We propose and analyse boundary-preserving schemes for the strong approximations of some scalar SDEs with non-globally Lipschitz drift and diffusion coefficients whose state-space…
math.NA2023★ 1 cited
Positivity-preserving schemes for some nonlinear stochastic PDEs
Charles-Edouard Bréhier, David Cohen, Johan Ulander
We introduce a positivity-preserving numerical scheme for a class of nonlinear stochastic heat equations driven by a purely time-dependent Brownian motion. The construction is insp…
math.NA2023★ 3 cited
Analysis of a positivity-preserving splitting scheme for some nonlinear stochastic heat equations
Charles-Edouard Bréhier, David Cohen, Johan Ulander
We construct a positivity-preserving Lie--Trotter splitting scheme with finite difference discretization in space for approximating the solutions to a class of nonlinear stochastic…