Approximation of continuous time stochastic processes by a local linearization method
type: Item
instance of: scholarly article
title: Approximation of continuous time stochastic processes by a local linearization method
zbMATH Open document ID: 0895.65069
DOI: 10.1090/S0025-5718-98-00888-6
author: Isao Shoji
published in: Mathematics of Computation
publication date: 1997-12-16T00:00:00Z
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 65L06
Mathematics Subject Classification ID: 34F05
zbMATH DE Number: 1097367
zbMATH Keywords: one-step method
zbMATH Keywords: multistep method
zbMATH Keywords: comparison of methods
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: convergence
zbMATH Keywords: local linearization method
zbMATH Keywords: Brownian motion
zbMATH Keywords: numerical experiments
zbMATH Keywords: Euler method
MaRDI profile type: Publication
cites work: Numerical Solution of Stochastic Differential Equations with Constant Diffusion Coefficients
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cites work: Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations
cites work: Numerical Treatment of Stochastic Differential Equations
cites work: Estimation for nonlinear stochastic differential equations by a local linearization method1
cites work: Estimation for diffusion processes from discrete observation
description: scientific article; zbMATH DE number 1097367