A boundary preserving numerical scheme for the Wright–Fisher model

摘要

We are interested in the numerical approximation of non-linear stochastic differential equations (SDEs) with solution in a certain domain. Our goal is to construct explicit numerical schemes that preserve that structure. We generalize the semi-discrete method (Halidias and Stamatiou, 2016), and propose a numerical scheme, for which we prove a strong convergence result, to a class of SDEs that appears in population dynamics and ion channel dynamics within cardiac and neuronal cells. We furthermore extend our scheme to a multidimensional case.