Strong convergence rate of the positivity-preserving logarithmic truncated EM method for multi-dimensional stochastic differential equations with positive solutions
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| Format: | Preprint |
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2025
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| _version_ | 1866911285739782144 |
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| author | Hu, Xingwei Dai, Xinjie Xiao, Aiguo |
| author_facet | Hu, Xingwei Dai, Xinjie Xiao, Aiguo |
| contents | As a combination of the logarithmic transformation with the truncated Euler-Maruyama (TEM) scheme, the positivity-preserving logarithmic truncated Euler-Maruyama (LTEM) scheme has been generally developed for scalar stochastic differential equations (SDEs) with positive solutions. A subsequent question arises: can this method be extended to effectively solve general multidimensional SDEs with positive solutions? The answer to this question is affirmative. In this paper, we construct the positivity-preserving LTEM scheme to solve this type of system and demonstrate the suboptimal strong convergence rate of this scheme. On the other hand, when the underlying system degenerates into a scalar equation, the latest LTEM scheme analyzed by Tang & Mao (2024) is applicable to scalar SDEs with weak conditions, but its strong convergence rate is suboptimal. Based on this, we will theoretically demonstrate the optimal convergence rate of the LTEM method without infinitesimal factors in the scalar case. The proof strategy exactly improves its convergence rate from suboptimal to optimal. Finally, numerical examples are provided to validate the effectiveness and positivity-preserving of the LTEM method. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2504_01323 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Strong convergence rate of the positivity-preserving logarithmic truncated EM method for multi-dimensional stochastic differential equations with positive solutions Hu, Xingwei Dai, Xinjie Xiao, Aiguo Numerical Analysis As a combination of the logarithmic transformation with the truncated Euler-Maruyama (TEM) scheme, the positivity-preserving logarithmic truncated Euler-Maruyama (LTEM) scheme has been generally developed for scalar stochastic differential equations (SDEs) with positive solutions. A subsequent question arises: can this method be extended to effectively solve general multidimensional SDEs with positive solutions? The answer to this question is affirmative. In this paper, we construct the positivity-preserving LTEM scheme to solve this type of system and demonstrate the suboptimal strong convergence rate of this scheme. On the other hand, when the underlying system degenerates into a scalar equation, the latest LTEM scheme analyzed by Tang & Mao (2024) is applicable to scalar SDEs with weak conditions, but its strong convergence rate is suboptimal. Based on this, we will theoretically demonstrate the optimal convergence rate of the LTEM method without infinitesimal factors in the scalar case. The proof strategy exactly improves its convergence rate from suboptimal to optimal. Finally, numerical examples are provided to validate the effectiveness and positivity-preserving of the LTEM method. |
| title | Strong convergence rate of the positivity-preserving logarithmic truncated EM method for multi-dimensional stochastic differential equations with positive solutions |
| topic | Numerical Analysis |
| url | https://arxiv.org/abs/2504.01323 |