| Title |
On positive approximations of positive diffusions |
| Translation of Title |
Teigiamų difuzijų teigiamos aproksimacijos. |
| Authors |
Mackevičius, Vigirdas |
| DOI |
10.15388/LMR.2007.18182 |
| Full Text |
|
| Is Part of |
Lietuvos matematikos rinkinys. 2007, t. 47, spec. nr, p. 58-62.. ISSN 0132-2818 |
| Keywords [eng] |
Positive diffusion ; Weak second-order approximation ; CIR equation ; CKLS equation |
| Abstract [eng] |
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. |
| Type |
Journal article |
| Language |
English |
| Publication date |
2007 |
| CC license |
|
