Simulation of stochastic differential equations through the local linearization method. A comparative study

Authors
Jimenez, JC Shoji, I Ozaki, T
Citation
Jc. Jimenez et al., Simulation of stochastic differential equations through the local linearization method. A comparative study, J STAT PHYS, 94(3-4), 1999, pp. 587-602
Citations number
17
Categorie Soggetti
Physics
Journal title
JOURNAL OF STATISTICAL PHYSICS
ISSN journal
00224715 → ACNP
Volume
94
Issue
3-4
Year of publication
1999
Pages
587 - 602
Database
ISI
SICI code
0022-4715(199902)94:3-4<587:SOSDET>2.0.ZU;2-S
Abstract
A new local linearization (LL) scheme for the numerical integration of nona utonomous multidimensional stochastic differential equations (SDEs) with ad ditive noise is introduced. The numerical scheme is based on the local line arization of the SDE's drift coefficient by means of a truncated Ito-Taylor expansion. A comparative study with the other LL schemes is presented whic h shows some advantanges of the new scheme over other ones.