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Preserving Positivity Stochastic DG Method for Stochastic CIR Model
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报告人:
Liying Zhang, Associate Professor, China University of Mining and Technology (Beijing)
邀请人:
Xu Wang, Associate Professor
题目:
Preserving Positivity Stochastic DG Method for Stochastic CIR Model
时间地点:
19:00-20:00 June 16(Thursday)
摘要:

We construct a kind of preserving positivity numerical methods for stochastic CIR equation based on the stochastic DG method. Our proposed methods inherit the positive property of the exact solution. We also prove that the methods are convergent with the strong order 1. Finally, some numerical experiments are given to verify our theoretical results.