Local linearization method for the numerical solution of stochastic differential equations
type: Item
instance of: scholarly article
title: Local linearization method for the numerical solution of stochastic differential equations
zbMATH Open document ID: 1002.60545
DOI: 10.1007/BF00052324
author: Juan Carlos Jimenez
author: J. J. Riera
author: P. A. Valdes
author: Rolando Biscay
published in: Annals of the Institute of Statistical Mathematics
publication date: 2003-01-20T00:00:00Z
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 34F05
zbMATH DE Number: 1089247
zbMATH Keywords: local linearization
MaRDI profile type: Publication
cites work: Q4404205
cites work: Q3764976
cites work: Q3359644
cites work: Q5719651
cites work: A survey of numerical methods for stochastic differential equations
cites work: Q4004325
cites work: Continuous Markov processes and stochastic equations
cites work: Q4043889
cites work: Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations
cites work: Q4839955
cites work: Simulation of stochastic differential equations
cites work: Q3881612
description: scientific article; zbMATH DE number 1089247