A nonstandard Euler-Maruyama scheme
Abstract
We construct a nonstandard finite difference numerical scheme to approximate stochastic differential equations (SDEs) using the idea of weighed step introduced by R.E. Mickens. We prove the strong convergence of our scheme under locally Lipschitz conditions of a SDE and linear growth condition. We prove the preservation of domain invariance by our scheme under a minimal condition depending on a discretization parameter and unconditionally for the expectation of the approximate solution. The results are illustrated through the geometric Brownian motion. The new scheme shows a greater behavior compared to the Euler-Maruyama scheme and balanced implicit methods which are widely used in the literature and applications.
Cite
@article{arxiv.1411.2220,
title = {A nonstandard Euler-Maruyama scheme},
author = {Frédéric Pierret},
journal= {arXiv preprint arXiv:1411.2220},
year = {2015}
}
Comments
Accepted in "Journal of Difference Equations and Applications", to appear, 2015