Approximation of continuous time stochastic processes by the local linearization method revisited

DOI10.1081/SAP-120002423MaRDI QIDQ4542846zbMATH OpenFDO

Authors Juan Carlos Jimenez, Rolando Biscay

Publication date 5 November 2002

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/SAP-120002423

zbMATH Keywords

local linear approximationstochastic differential equationstrong convergence

Mathematics Subject Classification ID

Strong limit theorems (60F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• A local linearization approach to nonlinear filtering
• A statistical comparison of the short-term interest rate models for Japan, U.S., and Germany
• Approximation of continuous time stochastic processes by a local linearization method
• Comparative study of estimation methods for continuous time stochastic processes
• Computing the noise covariance matrix of the local linearization scheme for the numerical solution of stochastic differential equations
• Estimation for nonlinear stochastic differential equations by a local linearization method¹
• scientific article; zbMATH DE number 1432782 (Why is no real title available?)
• Local linearization method for the numerical solution of stochastic differential equations
• Miscellanea. A statistical method of estimation and simulation for systems of stochastic differential equations
• Nonlinear EEG analysis based on a neural mass model
• Simulation of stochastic differential equations through the local linearization method. A comparative study
• Statistical Identification of Nonlinear Random Vibration Systems
• The role of the likelihood function in the estimating of chaos models

Cited in

(14)

• A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations
• A numerical method for the computation of the Lyapunov exponents of nonlinear ordinary 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
• Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
• Rate of convergence of local linearization schemes for initial-value problems
• The local linearization method for numerical integration of random differential equations
• A weak local linearization scheme for stochastic differential equations with multiplicative noise
• Approximation of continuous time stochastic processes by a local linearization method
• Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise
• On local linearization method for stochastic differential equations driven by fractional Brownian motion
• Local Linear Approximations of Jump Diffusion Processes
• A note on convergence rate of a linearization method for the discretization of stochastic differential equations
• A higher order local linearization method for solving ordinary differential equations

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