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Mathematics  2014 

First-order weak balanced schemes for bilinear stochastic differential equations

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Abstract:

We use the linear scalar SDE as a test problem to show that it is possible to construct almost sure stable first-order weak balanced schemes based on the addition of stabilizing functions to the drift terms. Then, we design balanced schemes for multidimensional bilinear SDEs achieving the first order of weak convergence, which do not involve multiple stochastic integrals. To this end, we follow two methodologies to find appropriate stabilizing weights; through an optimization procedure or based on a closed heuristic formula. Numerical experiments show a promising performance of the new numerical schemes.

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