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

DOI10.1016/S0893-9659(02)00041-1zbMath1004.65009OpenAlexW2015331666MaRDI QIDQ1614124

J. C. Jimenez

Publication date: 3 September 2002

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0893-9659(02)00041-1

zbMATH Keywords

Wiener processnumerical experimentsstochastic differential equationslocal linearization schemes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

• Expokit

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