On positive approximations of positive diffusions

نویسنده

  • Vigirdas MACKEVIČIUS
چکیده

For positive diffusions, we construct split-step second-order weak approximations preserving the positivity property. For illustration, we apply the construction to some popular stochastic differential equations such as Verhulst, CIR, and CKLS equations.

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تاریخ انتشار 2007