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Abstract
This work concerns with the numerical approximation for the stochastic Lotka–Volterra model originally studied by Mao et al. (Stoch Process Appl 97(1):95–110, 2002). The natures of the model including multi-dimension, super-linearity of both the drift and diffusion coefficients and the positivity of the solution make most of the existing numerical methods fail. In particular, the super-linearity of the diffusion coefficient results in the explosion of the 1st moment of the analytical solution at a finite time. This becomes one of our main technical challenges. As a result, the convergence framework is to be set up under the θth moment with 0
Original language | English |
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Article number | 24 |
Number of pages | 16 |
Journal | Calcolo |
Volume | 60 |
Issue number | 2 |
Early online date | 25 Apr 2023 |
DOIs | |
Publication status | Published - Jun 2023 |
Keywords
- stochastic differential equation
- positivity preserving numerical method
- multi-dimensional super-linear Lotka-Volterra model
- strong convergence
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Dive into the research topics of 'Positivity preserving truncated scheme for the stochastic Lotka–Volterra model with small moment convergence'. Together they form a unique fingerprint.Projects
- 1 Finished
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Long-time dynamics of numerical solutions of stochastic differential equations
Mao, X. (Principal Investigator)
1/10/16 → 30/09/21
Project: Research