A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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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