Approximation of continuous time stochastic processes by a local linearization method

DOI10.1090/S0025-5718-98-00888-6zbMath0895.65069MaRDI QIDQ4372696

Isao Shoji

Publication date: 16 December 1997

Published in: Mathematics of Computation (Search for Journal in Brave)

zbMATH Keywords

convergencecomparison of methodsBrownian motionnumerical experimentsstochastic differential equationsEuler methodone-step methodmultistep methodlocal linearization method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

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• Estimation for nonlinear stochastic differential equations by a local linearization method¹