Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise (Q438716): Difference between revisions
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Revision as of 08:19, 27 February 2024
scientific article
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| English | Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise |
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Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise (English)
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31 July 2012
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The local linear (LL) discretization methods for the numerical integration of systems of stochastic differential equations with additive noise use a linearization of the systems with consequent integration of the obtained linear systems. Local linear discretizations require a numerical implementation in the form of local linearization (LL) schemes. The authors consider some LL schemes and prove their strong convergence.
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local linearization schemes
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stochastic differential equations
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additive noise
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numerical integration
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systems
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strong convergence
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