Computing the noise covariance matrix of the local linearization scheme for the numerical solution of stochastic differential equations

DOI10.1016/S0893-9659(97)00126-2zbMath1072.60504MaRDI QIDQ2565578

P. A. Valdes, L. M. Rodriguez, J. C. Jimenez, J. J. Riera, R. J. Biscay

Publication date: 27 September 2005

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

zbMATH Keywords

numerical integration

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

Simplified formulas for the mean and variance of linear stochastic differential equations ⋮ Approximation of continuous time stochastic processes by the local linearization method revisited ⋮ Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes ⋮ Computing multiple integrals involving matrix exponentials

Cites Work

• Local linearization method for the numerical solution of stochastic differential equations
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Computing the noise covariance matrix of the local linearization scheme for the numerical solution of stochastic differential equations