A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations (Q1614124)
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| Language | Label | Description | Also known as |
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| English | A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations |
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A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations (English)
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3 September 2002
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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.
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local linearization schemes
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stochastic differential equations
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Wiener process
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numerical experiments
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