Computing the noise covariance matrix of
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J.C Jimenez; P.A Valdes; L.M Rodriguez; J.J Riera; R Biscay
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Article
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1998
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Elsevier Science
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English
β 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