Local linearization method for the numerical solution of stochastic differential equations

DOI10.1007/BF00052324zbMath1002.60545MaRDI QIDQ1373252

J. C. Jimenez, R. J. Biscay, J. J. Riera, P. A. Valdes

Publication date: 20 January 2003

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

local linearization

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

65C30: Numerical solutions to stochastic differential and integral equations

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Cites Work

• A survey of numerical methods for stochastic differential equations
• Simulation of stochastic differential equations
• Continuous Markov processes and stochastic equations
• Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations
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