2 papers
math.NA2025
Strong convergence rate of the positivity-preserving logarithmic truncated EM method for multi-dimensional stochastic differential equations with positive solutions
Xingwei Hu, Xinjie Dai, Aiguo Xiao
As a combination of the logarithmic transformation with the truncated Euler-Maruyama (TEM) scheme, the positivity-preserving logarithmic truncated Euler-Maruyama (LTEM) scheme has…
math.NA2025
Strong convergence rate of positivity-preserving truncated Euler--Maruyama method for multi-dimensional stochastic differential equations with positive solutions
Xingwei Hu, Xinjie Dai, Aiguo Xiao
To construct positivity-preserving numerical methods, a vast majority of existing works employ transformation techniques such as the Lamperti transformation or logarithmic transfor…