On positive approximations of positive diffusions
Articles
Vigirdas Mackevičius
Vilnius University
Published 2007-12-20
https://doi.org/10.15388/LMR.2007.18182
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Keywords

positive diffusion
weak second-order approximation
CIR equation
CKLS equation

How to Cite

Mackevičius V. (2007) “On positive approximations of positive diffusions”, Lietuvos matematikos rinkinys, 47(spec.), pp. 58–62. doi: 10.15388/LMR.2007.18182.

Abstract

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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