A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations (Q1614124)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 1794945
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations |
scientific article; zbMATH DE number 1794945 |
Statements
A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations (English)
0 references
3 September 2002
0 references
This paper presents a much less computationally costly procedure for computing expressions occurring in local linearization schemes for approximating the solution of stochastic differential equations of the form \[ dx(t)= f(t, x(t)) dt+ G(t) dw(t), \] where \(w\) is an \(m\)-dimensional Wiener process. Results of numerical experiments illustrating this computational efficiency are summarized.
0 references
local linearization schemes
0 references
stochastic differential equations
0 references
Wiener process
0 references
numerical experiments
0 references
0 references
0 references
0.7783169746398926
0 references
0.7699639797210693
0 references
0.7697044014930725
0 references
