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math.NA2025
Preserving invariant domains and strong approximation of stochastic differential equations
Utku Erdogan, Gabriel Lord
In this paper, we develop numerical methods for solving Stochastic Differential Equations (SDEs) with solutions that evolve within a hypercube in . Our approach i…
math.NA2021
Strong Convergence of a GBM Based Tamed Integrator for SDEs and an Adaptive Implementation
Utku Erdogan, Gabriel J. Lord
We introduce a tamed exponential time integrator which exploits linear terms in both the drift and diffusion for Stochastic Differential Equations (SDEs) with a one sided globally…