LOCAL LINEARIZATION METHOD FOR THE NUMERICAL-SOLUTION OF STOCHASTIC DIFFERENTIAL-EQUATIONS

Authors
BISCAY R JIMENEZ JC RIERA JJ VALDES PA
Citation
R. Biscay et al., LOCAL LINEARIZATION METHOD FOR THE NUMERICAL-SOLUTION OF STOCHASTIC DIFFERENTIAL-EQUATIONS, Annals of the Institute of Statistical Mathematics, 48(4), 1996, pp. 631-644
Citations number
18
Categorie Soggetti
Statistic & Probability",Mathematics,"Statistic & Probability
Journal title
Annals of the Institute of Statistical Mathematics → ACNP
ISSN journal
00203157
Volume
48
Issue
4
Year of publication
1996
Pages
631 - 644
Database
ISI
SICI code
0020-3157(1996)48:4<631:LLMFTN>2.0.ZU;2-K
Abstract
The Local Linearization (LL) approach for the numerical solution of st ochastic differential equations (SDEs) is extended to general scalar S DEs, as well as to non-autonomous multidimensional SDEs with additive noise. In case of autonomous SDEs, the derivation of the method introd uced gives theoretical support to one of the previously proposed varia nts of the LL approach. Some numerical examples are given to demonstra te the practical performance of the method.