Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise (Q438716)
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 6062471
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise |
scientific article; zbMATH DE number 6062471 |
Statements
Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise (English)
0 references
31 July 2012
0 references
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.
0 references
local linearization schemes
0 references
stochastic differential equations
0 references
additive noise
0 references
numerical integration
0 references
systems
0 references
strong convergence
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.9829439
0 references
0.92422754
0 references
0.9195228
0 references
0.91412747
0 references
0.9126112
0 references
0.9105951
0 references
0.90991163
0 references
0.90743935
0 references
0.90397257
0 references
