The local linearization scheme for nonlinear diffusion models with discontinuous coefficients

DOI10.1016/S0167-7152(98)00191-6zbMath0979.60055OpenAlexW1989715977MaRDI QIDQ1962171

Osnat Stramer

Publication date: 2 July 2000

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(98)00191-6

zbMATH Keywords

numerical schemesweak approximationslocal linearisationcontinuous-time threshold autoregressive model

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (6)

A weak local linearization scheme for stochastic differential equations with multiplicative noise ⋮ Continuous‐time threshold autoregressions with jumps: Properties, estimation, and application to electricity markets ⋮ First-order weak balanced schemes for stochastic differential equations ⋮ Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes ⋮ A note on convergence rate of a linearization method for the discretization of stochastic differential equations ⋮ A Stable Numerical Scheme for Stochastic Differential Equations with Multiplicative Noise

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• On the Existence and Application of Continuous-Time Threshold Autoregressions of Order Two
• Comparative study of estimation methods for continuous time stochastic processes
• Approximation of continuous time stochastic processes by a local linearization method
• Continuous-time threshold AR(1) processes

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