✦ LIBER ✦

A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations

✍ Scribed by J.C. Jimenez

Publisher: Elsevier Science
Year: 2002
Tongue: English
Weight: 373 KB
Volume: 15
Category: Article
ISSN: 0893-9659
DOI: 10.1016/s0893-9659(02)00041-1

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✦ Synopsis

In this paper, a simple algebraic expression to evaluate the local linearization scheme for stochastic differential equations is introduced. In this way, the computation of the deterministic part of LL schemes is reduced to the evaluation of a matrix exponential, which reduces considerably the computational cost of these schemes.

📜 SIMILAR VOLUMES

Computing the noise covariance matrix of

Computing the noise covariance matrix of the local linearization scheme for the numerical solution of stochastic differential equations

✍ J.C Jimenez; P.A Valdes; L.M Rodriguez; J.J Riera; R Biscay 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 224 KB

## Communicated by B. J. Matkowsky Abstract--An algorithm is given that computes the covariance matrix of the noise term of the local linearization scheme for the numerical integration of stochastic differential equations. The order of convergence of the resulting approximation is studied. An exam