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A note on convergence rate of a linearization method for the discretization of stochastic differential equations

โœ Scribed by Isao Shoji

Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
192 KB
Volume
16
Category
Article
ISSN
1007-5704

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โœฆ Synopsis

This note discusses convergence rate of a linearization method for the discretization of stochastic differential equations with multiplicative noise. The method is to approximate the drift coefficient by the local linearization method and the diffusion coefficient by the Euler method. The mixed method guarantees the approximated process converges to the original one with the rate of convergence Dt, where Dt is the time interval of discretization.

๐Ÿ“œ SIMILAR VOLUMES

A note on convergence of semi-implicit E
A note on convergence of semi-implicit Euler methods for stochastic pantograph equations
โœ Y. Xiao; H.Y. Zhang ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 407 KB

In the literature [1] [Existence and uniqueness of the solutions and convergence of semiimplicit Euler methods for stochastic pantograph equation, J. Math. Anal. Appl. 325 (2007Appl. 325 ( ) 1142Appl. 325 ( -1159]], Fan and Liu investigated the existence and uniqueness of the solution for stochastic