COMPUTING THE NOISE COVARIANCE-MATRIX OF THE LOCAL LINEARIZATION SCHEME FOR THE NUMERICAL-SOLUTION OF STOCHASTIC DIFFERENTIAL-EQUATIONS

Authors
JIMENEZ JC VALDES PA RODRIGUEZ LM RIERA JJ BISCAY R
Citation
Jc. Jimenez et al., COMPUTING THE NOISE COVARIANCE-MATRIX OF THE LOCAL LINEARIZATION SCHEME FOR THE NUMERICAL-SOLUTION OF STOCHASTIC DIFFERENTIAL-EQUATIONS, Applied mathematics letters, 11(1), 1998, pp. 19-23
Citations number
6
Categorie Soggetti
Mathematics,Mathematics
Journal title
Applied mathematics letters → ACNP
ISSN journal
08939659
Volume
11
Issue
1
Year of publication
1998
Pages
19 - 23
Database
ISI
SICI code
0893-9659(1998)11:1<19:CTNCOT>2.0.ZU;2-1
Abstract
An algorithm is given that computes the covariance matrix of the noise term of the local linearization scheme for the numerical integration of stochastic differential equations. The order of convergence of the resulting approximation is studied. An example is presented that illus trates the performance of the algorithm.