Preserving invariant domains and strong approximation of stochastic differential equations
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arXiv
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| Format: | Preprint |
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2025
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| _version_ | 1866913740709953536 |
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| author | Erdogan, Utku Lord, Gabriel |
| author_facet | Erdogan, Utku Lord, Gabriel |
| contents | In this paper, we develop numerical methods for solving Stochastic Differential Equations (SDEs) with solutions that evolve within a hypercube $D$ in $\mathbb{R}^d$. Our approach is based on a convex combination of two numerical flows, both of which are constructed from positivity preserving methods. The strong convergence of the Euler version of the method is proven to be of order $\tfrac{1}{2}$, and numerical examples are provided to demonstrate that, in some cases, first-order convergence is observed in practice. We compare the Euler and Milstein versions of these new methods to existing domain preservation methods in the literature and observe our methods are robust, more widely applicable and that the error constant is in most cases superior. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2503_13094 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Preserving invariant domains and strong approximation of stochastic differential equations Erdogan, Utku Lord, Gabriel Numerical Analysis 65C30, 60H35 In this paper, we develop numerical methods for solving Stochastic Differential Equations (SDEs) with solutions that evolve within a hypercube $D$ in $\mathbb{R}^d$. Our approach is based on a convex combination of two numerical flows, both of which are constructed from positivity preserving methods. The strong convergence of the Euler version of the method is proven to be of order $\tfrac{1}{2}$, and numerical examples are provided to demonstrate that, in some cases, first-order convergence is observed in practice. We compare the Euler and Milstein versions of these new methods to existing domain preservation methods in the literature and observe our methods are robust, more widely applicable and that the error constant is in most cases superior. |
| title | Preserving invariant domains and strong approximation of stochastic differential equations |
| topic | Numerical Analysis 65C30, 60H35 |
| url | https://arxiv.org/abs/2503.13094 |