Local linearization method for the numerical solution of stochastic differential equations
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Cites work
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- A survey of numerical methods for stochastic differential equations
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Cited in
(39)- The local linearization scheme for nonlinear diffusion models with discontinuous coefficients
- Estimation for nonlinear stochastic differential equations by a local linearization method1
- On the numerical integration of the undamped harmonic oscillator driven by independent additive Gaussian white noises
- A numerical method for the computation of the Lyapunov exponents of nonlinear ordinary differential equations
- scientific article; zbMATH DE number 7415079 (Why is no real title available?)
- Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
- Weak convergence of tamed exponential integrators for stochastic differential equations
- Non-Gaussian distribution for stock returns and related stochastic differential equation
- Local Linear Approximations of Jump Diffusion Processes
- The local linearization method for numerical integration of random differential equations
- Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise
- Runge-Kutta Lawson schemes for stochastic differential equations
- A higher order local linearization method for solving ordinary differential equations
- Parametric inference for hypoelliptic ergodic diffusions with full observations
- Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model
- Approximation of continuous time stochastic processes by the local linearization method revisited
- On local linearization method for stochastic differential equations driven by fractional Brownian motion
- A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations
- Estimation of parameters in incomplete data models defined by dynamical systems
- Simulation of stochastic differential equations through the local linearization method. A comparative study
- A multiscale method with patch for the solution of stochastic partial differential equations with localized uncertainties
- High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise
- Strong convergence of a GBM based tamed integrator for SDEs and an adaptive implementation
- scientific article; zbMATH DE number 5983913 (Why is no real title available?)
- A weak local linearization scheme for stochastic differential equations with multiplicative noise
- Dynamic properties of the local linearization method for initial value problems.
- A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems
- First-order weak balanced schemes for stochastic differential equations
- The free energy principle made simpler but not too simple
- A note on convergence rate of a linearization method for the discretization of stochastic differential equations
- Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
- Numerical simulation of nonlinear dynamical systems driven by commutative noise
- Computing the noise covariance matrix of the local linearization scheme for the numerical solution of stochastic differential equations
- Rate of convergence of local linearization schemes for initial-value problems
- Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments
- Locally linearized methods for the simulation of stochastic oscillators driven by random forces
- Numerical solution of conservative finite-dimensional stochastic Schrödinger equations
- A simulation study of the local linearization method for the numerical (strong) solution of stochastic differential equations driven by alpha-stable Lévy motions
- A stable numerical scheme for stochastic differential equations with multiplicative noise
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