Open AccessOn positive approximations of positive diffusions
Author(s) -
Vigirdas Mackevičius
Publication year - 2007
Publication title -
lietuvos matematikos rinkinys
Language(s) - English
Resource type - Journals
eISSN - 2335-898X
pISSN - 0132-2818
DOI - 10.15388/lmr.2007.18182
Subject(s) - approximations of π , mathematics , stochastic differential equation , construct (python library) , property (philosophy) , order (exchange) , computer science , economics , epistemology , philosophy , finance , programming language
For positive diffusions, we construct split-step second-order weak approximations preserving the positivity property. For illustration, we apply the construction to some popular stochastic differential equations such as Verhulst, CIR, and CKLS equations.