Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5776129 | Journal of Computational and Applied Mathematics | 2018 | 26 Pages |
Abstract
We are interested in the numerical approximation of non-linear stochastic differential equations (SDEs) with solution in a certain domain. Our goal is to construct explicit numerical schemes that preserve that structure. We generalize the semi-discrete method (Halidias and Stamatiou, 2016), and propose a numerical scheme, for which we prove a strong convergence result, to a class of SDEs that appears in population dynamics and ion channel dynamics within cardiac and neuronal cells. We furthermore extend our scheme to a multidimensional case.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
I.S. Stamatiou,