A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations (Q1614124)

This paper presents a much less computationally costly procedure for computing expressions occurring in local linearization schemes for approximating the solution of stochastic differential equations of the form \[ dx(t)= f(t, x(t)) dt+ G(t) dw(t), \] where \(w\) is an \(m\)-dimensional Wiener process. Results of numerical experiments illustrating this computational efficiency are summarized.