Approximation of continuous time stochastic processes by the local linearization method revisited

DOI10.1081/SAP-120002423zbMath1007.60058MaRDI QIDQ4542846

R. J. Biscay, J. C. Jimenez

Publication date: 5 November 2002

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationstrong convergencelocal linear approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Strong limit theorems (60F15)

Related Items (11)

A weak local linearization scheme for stochastic differential equations with multiplicative noise ⋮ A higher order local linearization method for solving ordinary differential equations ⋮ Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes ⋮ Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise ⋮ High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise ⋮ Rate of convergence of local linearization schemes for initial-value problems ⋮ A note on convergence rate of a linearization method for the discretization of stochastic differential equations ⋮ On local linearization method for stochastic differential equations driven by fractional Brownian motion ⋮ Local Linear Approximations of Jump Diffusion Processes ⋮ The local linearization method for numerical integration of random differential equations ⋮ A numerical method for the computation of the Lyapunov exponents of nonlinear ordinary differential equations

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