โ Scribed by J.C Jimenez; P.A Valdes; L.M Rodriguez; J.J Riera; R Biscay
No coin nor oath required. For personal study only.
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 example is presented that illustrates the performance of the algorithm.
๐ SIMILAR VOLUMES
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 compu
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