Logarithmic Euler Maruyama Scheme for Multi Dimensional Stochastic Delay Differential Equation
Numerical Analysis
2021-09-01 v3 Numerical Analysis
Abstract
In this paper, we extend the logarithmic Euler-Maruyama scheme for stochastic delay differential equation in one dimension to the part where we propose a scheme for a system of stochastic delay differential equations. We then show that the scheme always maintains positivity subject to initial conditions. We then show the convergence of the proposed Euler-Maruyama scheme. With this scheme, all the approximate solutions are positive and the rate of convergence of this scheme is 0.5.
Keywords
Cite
@article{arxiv.2108.11020,
title = {Logarithmic Euler Maruyama Scheme for Multi Dimensional Stochastic Delay Differential Equation},
author = {Nishant Agrawal and Yaozhong Hu},
journal= {arXiv preprint arXiv:2108.11020},
year = {2021}
}
Comments
12 pages