Approximation of continuous time stochastic processes by a local linearization method

DOI10.1090/S0025-5718-98-00888-6MaRDI QIDQ4372696zbMATH OpenFDO

Authors Isao Shoji

Publication date 16 December 1997

Published in Mathematics of Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/S0025-5718-98-00888-6

zbMATH Keywords

Brownian motioncomparison of methodsconvergenceEuler methodlocal linearization methodmultistep methodnumerical experimentsone-step methodstochastic differential equations

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

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Cites work

• Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations
• Estimation for diffusion processes from discrete observation
• Estimation for nonlinear stochastic differential equations by a local linearization method¹
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• Numerical Solution of Stochastic Differential Equations with Constant Diffusion Coefficients
• Numerical Treatment of Stochastic Differential Equations

Cited in

(11)

• A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations
• High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise
• The local linearization scheme for nonlinear diffusion models with discontinuous coefficients
• Fast continuous-discrete DAF-filters
• Estimation for nonlinear stochastic differential equations by a local linearization method¹
• Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise
• Approximation of continuous time stochastic processes by the local linearization method revisited
• Optimal approximation of stochastic differential equations by adaptive step-size control
• Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model
• Parameter estimation in nonlinear multivariate stochastic differential equations based on splitting schemes
• A note on convergence rate of a linearization method for the discretization of stochastic differential equations

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