DOMAIN PRESERVING AND STRONGLY CONVERGING EXPLICIT

SCHEME FOR THE STOCHASTIC SIS EPIDEMIC MODEL

arXiv:2307.14404v1 [math.NA] 26 Jul 2023

a,c a,b
YIANNIS KIOUVREKIS AND IOANNIS S. STAMATIOU

a
Mathematics, Computer Science, Artificial Intelligence Laboratory, Department of Public and One
Health, University of Thessaly
e-mail address: kiouvrekis.y@uth.gr
b
University of West Attica, Athens, Greece
e-mail address: istamatiou@uniwa.gr
c
University of Nicosia, Business School, Cyprus

Abstract. In this article, we construct a numerical method for a stochastic version of the
Susceptible–Infected–Susceptible (SIS) epidemic model, expressed by a suitable stochastic
differential equation (SDE), by using the semi-discrete method to a suitable transformed
process. We prove the strong convergence of the proposed method, with order 1, and
examine its stability properties. Since SDEs generally lack analytical solutions, numerical
techniques are commonly employed. Hence, the research will seek numerical solutions
for existing stochastic models by constructing suitable numerical schemes and comparing
them with other schemes. The objective is to achieve a qualitative and efficient approach
to solving the equations. Additionally, for models that have not yet been proposed for
stochastic modeling using SDEs, the research will formulate them appropriately, conduct
theoretical analysis of the model properties, and subsequently solve the corresponding
SDEs.

Introduction
The research on mathematical modeling of epidemics initially focused on deterministic mod-
els, which significantly contributed to understanding epidemic behavior [1]. Deterministic
models were able to capture various disease characteristics, such as permanent immunity
and sexually transmitted or bacterial diseases without permanent immunity [15]. However,
deterministic models have limitations in adequately describing real-world scenarios due to
the influence of uncertain circumstances on model parameters. To address this limitation,
stochastic models were introduced, incorporating noise factors to better suit epidemiolog-
ical problems [5]. This paper aims to explore the modeling of population dynamics using
stochastic differential equations (SDEs). The focus is not only on formulating the initial
model as an appropriate SDE using independent Brownian motions but also on developing
numerical approaches to solve the equations.
SDEs, as we mentioned, play a prominent role in several areas as finance and epidemiology
Key words and phrases: stochastic SIS epidemic model, explicit numerical scheme, semi-discrete method,
strong first order convergence, exponential stability.
2 Y. KIOUVREKIS AND I.S. STAMATIOU

but in comparison with ODE the general solution theory is more mathematical complicated
[20]. The same situation exists in the case of numerical solutions of SDEs. Methods for
the numerical solution of SDEs are based on similar techniques like the Euler Maruyama
method (EM)[19], which is the analogue of the Euler method for ordinary differential equa-
tions. It is well known that if the SDE’s coefficients are globally Lipschitz continuous, then
the Euler approximation process will convergence in the strong and numerically weak sense
to the exact solution of the SDE, but if the coefficients of the SDE are not globally Lipschitz
continuous the Euler approximation does not converge [12].
The initial reference is the research paper [4] where the authors have expanded upon the
classical susceptible-infected-susceptible (SIS) epidemic model. The deterministic model
which also describes the vital dynamics of the population [15] is the following:
dS(t) β
= − S(t)I(t) + (b + γ)I(t)
dt K (0.1)
dI(t) β
= S(t)I(t) − (b + γ)I(t)
dt K
where β > 0 is the contact rate, γ > 0 the recovery rate, b ≥ 0 the birth rate for a population
of size K with initial conditions S(0) + I(0) = K with S(0) > 0 and I(0) > 0.
The authors in [4] have taken this model from its original deterministic framework
and transformed it into a stochastic framework (0.2). To accomplish this, they have em-
ployed stochastic differential equations to describe the dynamics of the number of infectious
individuals, represented by I(t).
 
β
dS(t) = − S(t)I(t) + (b + γ)I(t) dt − σS(t)I(t)dW (t)
K
  (0.2)
β
dI(t) = S(t)I(t) − (b + γ)I(t) dt + σS(t)I(t)dW (t)
K
where W (t, ω 1) : [0, ∞)×Ω → R is an 1-dimensional Wiener process adapted to the filtration
{Ft }t≥0 , see [14], [18] and σ belongs to R+ . Expressing the SDE in terms of the process I
in integral form we get that
Z t  Z t
β 2
It = I0 + ηIs − Is ds + σ (K − Is )Is dWs , (0.3)
0 K 0
where η = β − b − γ. It has been shown in [4] that for any given initial value I0 = I(0) ∈
(0, K) there exists a unique global solution with values in (0, K) in the sense that P(It ∈
(0, K) for all t ≥ 0) = 1. Unfortunately, the classical EM method does not preserve the
domain (0, K).
The epidemic models refer to quantities which take values in a certain domain; for the
SIS model I(t) ∈ [0, K]. Therefore, the numerical scheme should preserve this domain. The
commonly used explicit Euler scheme does not have this property since its increments are
conditional Gaussian and thus there is an event of negative values with positive probability.
We are interested in the construction of a numerical scheme that preserves the domain of the
solution process. Of course other features of the numerical method (apart from the domain
preservation) are desirable, such as the strong convergence in the mean square sense to the
exact solution of the original SDE (for visualizing stochastic dynamics, simulating scenarios
theoretical interest, see [11]) and the explicitness of the method (for computational reasons).
1we usually omit the dependence on ω
 EXPLICIT SCHEME FOR THE STOCHASTIC SIS EPIDEMIC MODEL 3

From all of the above, the need to approximate in a qualitative correct way the solution
processes in the nonlinear models as in the SIS model emerges (0.3). The idea of domain-
preserving numerical methods is a direction where researchers have paid attention, more
obvious in the last fifteen years, c.f. [3], [13], [16], [7], [10] and [22] and references therein.
If in addition we require explicit numerical schemes we could use the semi-discrete method,
see [22] for a review of the method.
The semi-discrete method, originally proposed in [6], has the following properties:
• it is in general explicit in general and consequently does not require a lot of computational
time,
• it does not explode in non-linear problems,
• it strongly converges to the exact solution of the original SDE,
• domain preservation,
• reproduces the stability behavior of the solution process ([9], [21])
The key idea behind the semi-discrete method is freezing on each integration interval
of size ∆, parts of the drift and diffusion coefficients of the solution at the endpoints of the
subinterval, obtaining explicitly solved SDEs which by construction preserve the domain of
the solution process.
For the SIS model (0.2) the following domain preserving method has been proposed,
[23],

KeXn
Yn = , (0.4)
1 + eXn
where Xn is produced by the application of the EM scheme to the transformed process,
It
through the Lamperti-type transformation zt = ln , with
K − It
Z t Z t
zt = z0 + F (zs )ds + σKdWs , (0.5)
0 0
where
σ2K 2 σ2 K 2
F (x) = η − (b + γ)ex + −
2 1 + ex
that is,
Xn+1 = Xn + F (Xn )∆ + σK∆Wn , (0.6)
I0
with X0 = z(0) = ln .
K − I0
We propose the following domain preserving scheme applying the semi-discrete method
to a different transformation of the original process and then transforming back. In partic-
ular, the numerical scheme we propose is produced by

K X̂n
Ŷn = , (0.7)
1 + X̂n
where X̂n is produced by the application of the semi-discrete method to the transformed
It
process ẑt = , with
K − It
Z t Z t
ẑt = ẑ0 + F̂ (ẑs )ds + σK ẑs dWs , (0.8)
0 0
4 Y. KIOUVREKIS AND I.S. STAMATIOU

where
σ 2 K 2 x2
F̂ (x) = ηx − (b + γ)x2 + =: xφ(x)
1+x
that is,
σ2 K 2
X̂n+1 = X̂n exp{(φ(X̂n ) − )∆ + σK∆Wn }, (0.9)
2
I0
with X̂0 = ẑ(0) = . Exponential strongly converging schemes like (0.9) had been
K − I0
proposed in [8] but with no rate of convergence. The proposed numerical scheme (0.7) is
proven to strongly converge to the solution process with order 1, see Theorem 1. Moreover,
the numerical scheme possesses another property, reproduces the stability behavior of the
solution process with the cost of an extra mild assumption on the parameters, see Theorem 3.
In Section 1 the setting and the two main results are presented. The proofs are found
in Sections 2 and 3. Finally, Section 4 provides numerical evidence of the validity of the
theoretical results.

1. Setting, Preliminary and Main results

Recall the SDE (0.3) for the process I which we rewrite as
Z t Z t
It = I0 + A(Is )ds + B(Is )dWs , (1.1)
0 0
with
β 2
A(x) = ηx − x and B(x) = σ(K − x)x, (1.2)
K
with η = β −b−γ. The diffusion operator associated with (1.1) related to the transformation
x
V (x) = reads
K −x
1
LV (x) = A(x)V ′ (x) + B 2 (x)V ′′ (x)
2
β 2 K 1 2K
= (ηx − x ) 2
+ σ 2 (K − x)2 x2
K (K − x) 2 (K − x)3
x K x2 x
= η −β 2
+ σ2K x
K −xK −x (K − x) K −x
KV (x)
= ηV (x)(1 + V (x)) − β)V 2 (x) + σ 2 KV (x)
1 + V (x)
σ 2 K 2 V 2 (x)
= (η − β)V 2 (x) +
1 + V (x)
therefore by application of the Itô formula we get (0.8), rewritten as

Z t Z t
ẑt = ẑ0 + LV (Is )ds + B(Is )V ′ (Is )dWs
0 0
Z t Z t
= ẑ0 + F̂ (ẑs )ds + G(ẑs )dWs (1.3)
0 0
 EXPLICIT SCHEME FOR THE STOCHASTIC SIS EPIDEMIC MODEL 5

with
σ 2 K 2 x2
F̂ (x) = ηx − (b + γ)x2 + and G(x) = σKx (1.4)
1+x
Lemma 1. Process ẑt has finite moment bounds of any order, that is for any p ∈ R there
is a constant Cp such that
sup E(ẑtp ) ≤ Cp
t∈[0,T ]

Proof. Take a p > 0 and write ẑt = It (K − It )−1 . Raising to the power of p and taking
expectations
r r q
p 2p −2p p
sup E (ẑt ) ≤ sup E(It ) sup E(K − It ) ≤K Ĉ2p ,
t∈[0,T ] t∈[0,T ] t∈[0,T ]

whereas
  r r q
sup E ẑt−p ≤ sup E(It )−2p sup E(K − It )2p ≤ K p Ĉ2p ,
t∈[0,T ] t∈[0,T ] t∈[0,T ]

with
   
−p −p

2β p(p + 1) 2 2
Ĉp = (I0 ) ∨ (K − I0 ) exp p η ∨ (2β − η) ∨ T+ σ K T
K 2
being the constant as in [2, Theorem 3.2].
Alternatively, for all positive x we find that
xF̂ (x) + (p − 1)G2 (x)/2
J(x) :=
1 + x2
2
 
x σ 2 K 2 x (p − 1)σ 2 K 2
= η − (b + γ)x + +
1 + x2 1+x 2
≤ C,
for any p > 2, where from now and on C refers to a constant varying form line to line.
Therefore, the p-th moment of (ẑt ) is finite, E(ẑtp ) < C cf.[18, Theorem 2.4.1]. Following a
standard procedure, we may show that E supt∈[0,T ] (ẑtp ) < C, c.f.[8, Lemma 4.3] for p > 2
and work in a similar way for the process (ẑt )−p . The case where 0 < p < 2 is covered by
Jensen’s inequality for the concave function xp/2 .
Now let us discuss about  approximation 2schemes
 for the solution of (1.3). Using the
σ K 2x
auxiliary function f (x, y) = η − (b + γ)x + 1+x y := φ(x)y, with the property f (x, x) =
F̂ (x), we write the evolution of a process (X̂t ) in a subinterval [tn , tn+1 ] of length ∆ < 1 as
Z s Z s
X̂s = X̂n + φ(X̂n )X̂r dr + σK X̂r dWr
tn tn
1
= X̂n exp{(φ(X̂n ) − σ 2 K 2 )(s − tn ) + σK(Ws − Wn )},
2
cf.[17, Section 4.4] which suggests the scheme
1
X̂n+1 = X̂n exp{(φ(X̂n ) − σ 2 K 2 )∆ + σK∆Wn }, (1.5)
2
where Xn := Xtn .
6 Y. KIOUVREKIS AND I.S. STAMATIOU

We can show that the numerical scheme also possesses finite moment bounds of any
order, that is
E(X̂n )p ≤ Cep , (1.6)
where   
e p σ2 K 2 p2 σ 2 K 2
Cp := X̂0 exp η+ Tp + T
2 2
Indeed, by considering X̂0 nonnegative then all X̂n are nonnegative and we can write
( ! )
σ 2 K 2 X̂n 1 2 2
X̂n+1 = X̂n exp η + (η − β)X̂n + − σ K ∆ + σK∆Wn
1 + X̂n 2
  
σ2K 2
≤ X̂n exp η+ ∆ exp{σK∆Wn }
2
  
σ2K 2
≤ X̂n−1 exp η+ 2∆ exp{σK(∆Wn + ∆Wn−1 )}
2
   n+1
X
σ2 K 2
≤ X̂0 exp η+ (n + 1)∆ exp{σK ∆Wi }
2
i=0
by using repeatedly (1.5). Raising to the power of p and taking expectations in the above
inequality we reach (1.6) where we have used the fact the exponential moments of a Wiener
2
process are bounded, that is EecWT ≤ ec T /2 , for c ∈ R.
Having followed the semi-discrete method we immediately get a strong convergence
result of type for the transformed process, that is (see [8, Theorem 2.1])
E sup |ẑt − X̂t |2 → 0 for ∆ ↓ 0. (1.7)
t∈[0,T ]

Now we want to reveal the order of convergence in (1.7), that is find the value of r such
that
E sup |ẑt − X̂t |2 ≤ C∆2r . (1.8)
t∈[0,T ]
Then, by the mean value theorem we have that
ẑt X̂t 1
− = (ẑt − X̂t )
1 + ẑt 1 + X̂t (1 + vt )2
where vt is between ẑt and X̂t so that
 2
 K ẑ K X̂t 
 t
E sup |It − Ŷt |2 =  − 
t∈[0,T ]  1 + ẑt 1 + X̂t 
≤ K 2 E sup |ẑt − X̂t |2
t∈[0,T ]
2r
≤ C∆ . (1.9)
We show that (1.9) holds with r = 1. We present our first result.
Theorem 1. For any q > 0, the numerical scheme (0.7) strongly converges, in Lq sense,
to the solution of (0.3) with order 1, that is
E sup |Ŷtn − Itn |q ≤ C∆q . (1.10)
n=0,1,...,⌈T /∆⌉
 EXPLICIT SCHEME FOR THE STOCHASTIC SIS EPIDEMIC MODEL 7

Furthermore, we examine the stability behavior of the method. Recall model (0.3). We
β
denote the deterministic reproduction number by RD 0 = K(b+γ) .

Theorem 2 (see Theorem 4.1 in [4]). Let

σ2 K 2 β
RS0 := RD
0 − <1 and σ2 ≤
2(b + γ) K2
Then for any I0 ∈ (0, K) the solution process of (0.3) tends exponentially fast to zero a.s.,
that is
1 1
lim sup ln(It ) ≤ β − b − γ − σ 2 K 2 < 0 (1.11)
t→∞ t 2
Relation (1.11) shows that the disease will die out with probability 1. We show in
the next result that the proposed numerical scheme inherits perfectly this property, in the
following sense.
Theorem 3. Let the assumptions of Theorem 2 hold, where also σ 2 K 2 ≤ (b + γ). Then for
any 0 < ∆ < 1 it holds that
1 1
lim sup ln(Ŷn ) ≤ β − b − γ − σ 2 K 2 < 0 (1.12)
n∆→∞ n∆ 2
that is the approximation process (0.7) tends exponentially fast to zero a.s.
In other words the proposed numerical scheme reproduces in a perfect way the stability
property of the solution process, when this extra condition on the parameters holds.

2. Strong Convergence of the method

Recall (0.7). We will compare the proposed scheme with scheme (0.4) which has order 1.
We are interested in the estimation of
 q
 X̂ eXn 
 n 
|un |q := |Ŷn − Yn |q = K q  − X  (2.1)
 1 + X̂n 1 + e n

for any q > 0 (or at least for q = 2), where X̂n is given by (1.5) and Xn by (0.6). Actually
by [23, Theorem 2.1]
E sup |Itn − Ytn |q ≤ C∆q ,
n=0,1,...,⌈T /∆⌉
therefore we would like to show a result of the following type
E sup |Ŷtn − Ytn |q ≤ C∆q , (2.2)
n=0,1,...,⌈T /∆⌉

since then by the triangle inequality we would have

E sup |Itn − Ŷtn |q ≤ C∆q .
n=0,1,...,⌈T /∆⌉

First note that  

 X̂ eXn 
 n
 − ≤1
 1 + X̂n 1 + eXn 
and if we write X̂n = eΘn , with
1
Θn = ln(X̂n−1 ) + (φ(X̂n−1 ) − σ 2 K 2 )∆ + σK∆Wn−1 (2.3)
2
8 Y. KIOUVREKIS AND I.S. STAMATIOU

then by application of the mean value theorem for the exponential function we get

|eΘn − eXn |
|un | = K ≤ K|Θn − Xn |.
(1 + X̂n )(1 + eXn )
Moreover
!
σ 2 K 2 X̂n−1
1 2 2
Θn − Xn = ln(X̂n−1 ) + η + (η − β)X̂n−1 + − σ K ∆ + σK∆Wn−1
1 + X̂n−1 2
 2 2 2 2

Xn−1 σ K σ K
−Xn−1 − η − (b + γ)e + − ∆ − σK∆Wn−1
2 1 + eXn−1
= ln(X̂n−1 ) − Xn−1 − (b + γ)(X̂n−1 − eXn−1 )∆ − σ 2 K 2 ∆
!
X̂n−1 1
+σ 2 K 2 + ∆
1 + X̂n−1 1 + eXn−1
= ln(X̂n−1 ) − Xn−1 − (b + γ)(eΘn−1 − eXn−1 )∆
!
2 2 X̂n−1 1
+σ K + −1 ∆
1 + X̂n−1 1 + eXn−1
!
X̂n−1 eXn−1
= ln(X̂n−1 ) − Xn−1 − (b + γ)(eΘn−1 − eXn−1 )∆ + σ 2 K 2 − ∆
1 + X̂n−1 1 + eXn−1

where η − β = −(b + γ) or in terms of vn := Θn − Xn

vn = vn−1 − (b + γ)(eΘn−1 − eXn−1 )∆ + σ 2 K 2 un−1 ∆ (2.4)

Taking the square of the each side of the above equality yields

(vn )2 = (vn−1 )2 + (b + γ)2 (eΘn−1 − eXn−1 )2 ∆2 + σ 4 K 4 (un−1 )2 ∆2

+2σ 2 K 2 vn−1 un−1 ∆ − 2(b + γ)vn−1 (eΘn−1 − eXn−1 )∆
−2(b + γ)σ 2 K 2 (eΘn−1 − eXn−1 )un−1 ∆2
≤ (1 + σ 4 K 6 ∆2 + 2σ 2 K 3 ∆)(vn−1 )2 + (b + γ)2 e2ξn (vn−1 )2 ∆2
≤ (1 + C∆)(vn−1 )2 + C∆2 e2ξn (vn−1 )2 ,

where we have used that |un | ≤ K|vn | and the mean value theorem for the exponential
function to remove the last two negative terms, ξn is between Θn−1 and Xn−1 . The inequality
for (vn )2 becomes

(vn )2 ≤ (1 + C∆)(vn−1 )2 + C∆2 e2ξn (vn−1 )2

n−1
X
2
≤ C∆ (1 + C∆)n−j−1 e2ξj (vj )2
j=0

where ξj is between Θj and Xj . We note that sup∆∈(0,1) supn=1,2,...⌈T /∆⌉ (1 + C∆)n < ∞.
Now, we raise to the power of q, with q ≥ 1, take the supremum over all n = 0, 1, . . . , k
where k = 0, 1, . . . , ⌈T /∆⌉, and then expectation to the above inequality to find
 EXPLICIT SCHEME FOR THE STOCHASTIC SIS EPIDEMIC MODEL 9

 q
n−1
X 
 
E sup (vn )2q 2q
≤ C∆ E sup   2ξj
e (vj )  2
n=0,1,...,k n=0,1,...,k  j=0 
 
k−1
X
≤ C∆2q ∆1−q E  e2qξj (vj )2q 
j=0
k−1
X  
≤ C∆1+q E e2qξj (vj )2q .
j=0

We bound the term inside the expectation in the following way

|uj |
e2ξj (vj )2 = e2ξj (1 + eΘj )(1 + eXj ) |vj | ≤ C|vj | + Ce2(Θj ∨Xj ) |vj |,
K
where a ∨ b = max{a, b}. Applying Holder’s inequality and Young’s inequality we get the
following bound for the expectation inside the sum
   
E e2qξj (vj )2q ≤ CE(|vj |q ) + CE e2q(Θj ∨Xj ) |vj )|q
q
q
≤ CE(|vj |q ) + C ∆q E e4q(Θj ∨Xj ) ∆−q E(vj )2q
≤ CE(|vj |q ) + C∆q + C∆−q E(vj )2q .
Collecting all the above estimates we conclude that
k−1
X
E sup (vn )2q ≤ C∆ E(vj )2q + C∆2q
n=0,1,...,k j=0
Pk−1
≤ C∆ e 2q j=0 C∆ ≤ C∆2q ,
where in the last step we have applied the discrete version of the Gronwall inequality. Thus
using once more |un | ≤ K|vn | we find
E sup |un |2q ≤ C∆2q ,
n=0,1,...,⌈T /∆⌉

or in other words (2.2). Therefore (1.10) is true.

3. Stability of the method

Recall representation (2.3), which we rewrite as
!
σ 2 K 2 X̂n−1 1 2 2
ln(X̂n ) = ln(X̂n−1 ) + η − (b + γ)X̂n−1 + − σ K ∆ + σK∆Wn−1 .
1 + X̂n−1 2

We will work with ln(X̂n ) reaching a result of the type

1 1
lim sup ln(X̂n ) ≤ β − b − γ − σ 2 K 2 < 0. (3.1)
n∆→∞ n∆ 2
10 Y. KIOUVREKIS AND I.S. STAMATIOU

After that, the desired inequality is valid since by writing

!
X̂n
ln(Ŷn ) = ln K
1 + X̂n
≤ ln K + ln X̂n

we immediately get
1 1 1
lim sup ln(Ŷn ) ≤ lim sup ln K + lim sup ln(X̂n )
n∆→∞ n∆ n∆→∞ n∆ n∆→∞ n∆
1
≤ β − b − γ − σ 2 K 2 < 0.
2

Proof of (3.1). We bound ln(X̂n ) in the following way

 
1 2 2
ln(X̂n ) ≤ ln(X̂n−1 ) + η − σ K ∆ + (σ 2 K 2 − (b + γ))X̂n−1 ∆ + σK∆Wn−1
2
 
1 2 2
≤ ln(X̂n−2 ) + ln(X̂n−1 ) + η − σ K 2∆ + σK∆Wn−2 + σK∆Wn−1
2
  n−1
X
1 2 2
≤ ln(X̂0 ) + n∆ η − σ K + σK ∆Wi ,
2
i=0

where we used that σ 2 K 2 ≤ b + γ. Therefore

  n−1
1 1 2 2 1 X
lim sup ln(X̂n ) ≤ η − σ K + σK lim sup ∆Wi (3.2)
n∆→∞ n∆ 2 n∆→∞ n∆ i=0

At this point we will use properties of the Wiener process. The sum in the last term of
(3.2) behaves like Wn∆ . By the law of the iterated logarithm cf.[18, Theorem 1.4.2]
Wt
lim sup p =1 a.s.
t→∞ 2t ln ln(t)
Thus (3.2) is further bounded as
p
1 1 √ Wn∆ ln ln(n∆)
lim sup ln(X̂n ) ≤ η − σ 2 K 2 + 2σK lim sup p lim sup √
n∆→∞ n∆ 2 n∆→∞ 2n∆ ln ln(n∆) n∆→∞ n∆
r
1 2 2 √ ln ln(n∆)
≤ η − σ K + 2σK lim sup
2 n∆→∞ n∆
1 2 2
≤ η− σ K .
2
 EXPLICIT SCHEME FOR THE STOCHASTIC SIS EPIDEMIC MODEL 11

= 5, = 50, = 0.035, = 0.001

90
YH
80 SD

70
Number of Infectives I(t)

60

50

40

30

20

10

0
0 1 2 3 4 5 6 7 8 9 10
Time (t)

Figure 1. A sample path produced by (0.4) and (0.7) using the same
Wiener Process for the approximation of model (0.2) with parameters as
in [23, Example 3.1] and step-size ∆ = 0.001.

4. Numerical Experiment
We work with an example considered in [23, Example 3.1] and compare the two schemes,
see Figures 1 and 2.
The proposed domain preserving scheme, seems to produce paths “close” to the ones
found [23, Example 3.1]. Therefore, apart from an alternative option to qualitative approx-
imation of the solution process, the proposed scheme seems to be superior with respect to
computational time, see Figure 6. We refer also to the closely related work in [2] where an
explicit truncated method is also used to approximate (0.5).

Acknowledgment
The authors wish to acknowledge fruitful discussions with A and B.

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12 Y. KIOUVREKIS AND I.S. STAMATIOU

= 5, = 50, = 0.035, = 0.01

90
YH
80 SD

70
Number of Infectives I(t)

60

50

40

30

20

10

0
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
Time (t)

Figure 2. A sample path produced by (0.4) and (0.7) using the same
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 EXPLICIT SCHEME FOR THE STOCHASTIC SIS EPIDEMIC MODEL 13

T = 1, = 5, = 50, K = 100, = 0.035

M*L = 5000, Ref. SD at N = 16384
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log2 ( )

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14 Y. KIOUVREKIS AND I.S. STAMATIOU

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(1/2)log2 E|y(T )-y (ref)
T
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YH
-8 Ref. slope 1
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-9

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-13 -12.5 -12 -11.5 -11 -10.5 -10 -9.5 -9 -8.5 -8
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schemes (0.7) and (0.4) with YH as reference solution.

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 EXPLICIT SCHEME FOR THE STOCHASTIC SIS EPIDEMIC MODEL 15

10-14 (SD-YH) T = 10, = 5, = 50, K = 100, = 0.035

1.5
= 10 -3
1 = 10 -2
= 10 -1
0.5

0
- y YH
t

-0.5
y SD
t

-1

-1.5

-2

-2.5
0 1 2 3 4 5 6 7 8 9 10
t

Figure 5. Difference between (0.7) and (0.4) for the approximation of (0.2).
16 Y. KIOUVREKIS AND I.S. STAMATIOU

Error vs Time, T = 1, = 5, = 50, K = 100, = 0.035

0.09
y
SD
0.08 yYH

0.07

0.06

0.05
Error

0.04

0.03

0.02

0.01

0
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
Time t (s) -4
10

Figure 6. Error as a function of CPU time (in sec) using schemes (0.7) and
(0.4) for the approximation of (0.2).