A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations
type: Item
instance of: scholarly article
title: A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations
zbMATH Open document ID: 1004.65009
DOI: 10.1016/S0893-9659(02)00041-1
author: Juan Carlos Jimenez
published in: Applied Mathematics Letters
publication date: 2002-09-03T00:00:00Z
review text: This paper presents a much less computationally costly procedure for computing expressions occurring in local linearization schemes for approximating the solution of stochastic differential equations of the form \[ dx(t)= f(t, x(t)) dt+ G(t) dw(t), \] where \(w\) is an \(m\)-dimensional Wiener process. Results of numerical experiments illustrating this computational efficiency are summarized.
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 34F05
Mathematics Subject Classification ID: 60H35
zbMATH DE Number: 1794945
zbMATH Keywords: local linearization schemes
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: Wiener process
zbMATH Keywords: numerical experiments
reviewed by: Melvin D. Lax
describes a project that uses: Expokit
MaRDI profile type: Publication
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full work available at URL: s0893-9659(02)00041-1
OpenAlex ID: W2015331666
description: scientific article; zbMATH DE number 1794945