Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion
We provide a comparative analysis of qualitative features of different numerical methods for the inhomogeneous geometric Brownian motion (IGBM). The limit distribution of the IGBM exists, its conditional and asymptotic mean and variance are known and the process can be characterised according to Feller's boundary classification. We compare the frequently used Euler–Maruyama and Milstein methods, t