CONSTRUCTION OF POSITIVITY PRESERVING NUMERICAL SCHEMES FOR SOME MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS

摘要

In this note we work on the construction of positive preserving numerical schemes for a class of multidimensional stochastic differential equations. We use the semi discrete idea that we have proposed before proposing now a numerical scheme that preserves positivity on some multidimensional stochastic differential equations converging strongly in the mean square sense to the true solution.