IDEAS home Printed from https://ideas.repec.org/a/eee/apmaco/v510y2026ics0096300325004308.html

Convergence of a positivity preserving logarithmic truncated EM method for SDEs with discontinuous drift coefficients

Author

Listed:
  • Haghighi, Amir

Abstract

In this paper, a class of nonlinear stochastic differential equations with positive solutions and discontinuous drift coefficients is studied, considering both theoretical and computational aspects. The theoretical results focus on the existence of a unique positive solution for such SDEs via the approach introduced by Müller-Gronbach et al. (2022), and the computational aspect utilises the truncated Euler-Maruyama method proposed by Li et al. (2023) together with a logarithmic transformation that ensures a positive approximation to the original solution. The convergence of the numerical method is investigated, and the boundedness of the p-th moment is obtained. Finally, the proposed method is used to verify the convergence with the help of some numerical examples.

Suggested Citation

  • Haghighi, Amir, 2026. "Convergence of a positivity preserving logarithmic truncated EM method for SDEs with discontinuous drift coefficients," Applied Mathematics and Computation, Elsevier, vol. 510(C).
    • Handle: RePEc:eee:apmaco:v:510:y:2026:i:c:s0096300325004308
    DOI: 10.1016/j.amc.2025.129704
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0096300325004308
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.amc.2025.129704?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:apmaco:v:510:y:2026:i:c:s0096300325004308. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://www.journals.elsevier.com/applied-mathematics-and-computation .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.