Convergence rate of strong Local Linearization schemes for stochastic differential equations with additive noise
✍ Scribed by J. C. Jimenez, H. de la Cruz Cancino
- Book ID
- 113062128
- Publisher
- Springer Netherlands
- Year
- 2011
- Tongue
- English
- Weight
- 814 KB
- Volume
- 52
- Category
- Article
- ISSN
- 0006-3835
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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 meth
## 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