Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise (Q438716): Difference between revisions

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.