Simulation of stochastic differential equations through the local linearization method. A comparative study (Q1809688): Difference between revisions

For nonautonomous multidimensional SDE with additive noise \(dx(t)=f(t,x) dt+g(t) dW(t)\) with \(f\in C^{1,2}\) and \(g\in C^1\) the new local linearization scheme is introduced. It is based on the local linearization of the SDE's drift coefficient by means of a truncated Itô-Taylor expansion and combines the approximations developed by \textit{R. Biscay, J. C. Jimenez, J. J. Riera} and \textit{P. A. Valdes} [J. Ann. Inst. Stat. Math. 48, No. 4, 631-644 (1996)] and \textit{I. Shoji} and \textit{T. Ozaki} [Stochastic Anal. Appl. 16, No. 4, 733-752 (1998; Zbl 0912.60078)]. A comparative study shows better accuracy in comparison with other schemes.