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Activities
Preserving Positivity Stochastic DG Method for Stochastic CIR Model
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Reporter:
Liying Zhang, Associate Professor, China University of Mining and Technology (Beijing)
Inviter:
Xu Wang, Associate Professor
Subject:
Preserving Positivity Stochastic DG Method for Stochastic CIR Model
Time and place:
19:00-20:00 June 16(Thursday)
Abstract:

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.