Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise

DOI10.1007/s10543-011-0360-2zbMath1255.65021OpenAlexW2193879799MaRDI QIDQ438716

J. C. Jimenez, H. de la Cruz Cancino

Publication date: 31 July 2012

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10543-011-0360-2

zbMATH Keywords

strong convergencesystemsnumerical integrationstochastic differential equationsadditive noiselocal 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)

Related Items (10)

Locally linearized Runge-Kutta method of Dormand and Prince for large systems of initial value problems ⋮ Locally linearized Runge Kutta method of Dormand and Prince ⋮ Estimation of distribution algorithms for the computation of innovation estimators of diffusion processes ⋮ On the oscillatory behavior of coupled stochastic harmonic oscillators driven by random forces ⋮ Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise ⋮ A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems ⋮ Locally linearized methods for the simulation of stochastic oscillators driven by random forces ⋮ Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods ⋮ Efficient computation of phi-functions in exponential integrators ⋮ Computing high dimensional multiple integrals involving matrix exponentials

Uses Software

• Expokit

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