Positivity preserving truncated scheme for the stochastic Lotka–Volterra model with small moment convergence

Yongmei Cai, Qian Guo, Xuerong Mao

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5 Citations (Scopus)
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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 languageEnglish
Article number24
Number of pages16
JournalCalcolo
Volume60
Issue number2
Early online date25 Apr 2023
DOIs
Publication statusPublished - Jun 2023

Keywords

  • stochastic differential equation
  • positivity preserving numerical method
  • multi-dimensional super-linear Lotka-Volterra model
  • strong convergence

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