๐”– Bobbio Scriptorium
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Simulation of Stochastic Differential Equations Through the Local Linearization Method. A Comparative Study

โœ Scribed by J. C. Jimenez; I. Shoji; T. Ozaki

Book ID
111534772
Publisher
Springer
Year
1999
Tongue
English
Weight
194 KB
Volume
94
Category
Article
ISSN
0022-4715

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๐Ÿ“œ SIMILAR VOLUMES

A simple algebraic expression to evaluat
A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations
โœ J.C. Jimenez ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 373 KB

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

A note on convergence rate of a lineariz
A note on convergence rate of a linearization method for the discretization of stochastic differential equations
โœ Isao Shoji ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 192 KB

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

Computing the noise covariance matrix of
Computing the noise covariance matrix of the local linearization scheme for the numerical solution of stochastic differential equations
โœ J.C Jimenez; P.A Valdes; L.M Rodriguez; J.J Riera; R Biscay ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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