3 papers
math.NA2026
Boundary-preserving Lamperti--Itô--Taylor approximations for some stochastic differential equations
Johan Ulander
In this work, we propose high-order boundary-preserving numerical schemes for the strong approximation for some scalar stochastic differential equations with invariant domains bein…
math.NA2025
Boundary-preserving weak approximation for some semilinear stochastic partial differential equations
Johan Ulander
We propose and analyse a boundary-preserving numerical scheme for the weak approximation for some stochastic partial differential equations (SPDEs) with bounded state-space. We imp…
math.NA2025
Artificial Barriers for stochastic differential equations and for construction of boundary-preserving schemes
Johan Ulander
We develop the novel method of artificial barriers for scalar stochastic differential equations (SDEs) and use it to construct boundary-preserving numerical schemes for strong appr…