Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
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Publication:2433776
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20) Error bounds for numerical methods for ordinary differential equations (65L70)
Error bounds are derived for weak local linearization (LL) method approximate solutions of the system of \(d\) nonlinear stochastic differential equations \[ dx(t)= f(t, x(t))dt+ G(t)dw(t),\quad t\in[t_0, T],\quad x(t_0)= x_0, \] where \(w\) is an \(m\)-dimensional standard Wiener process and \(G\) is a \(d\times m\) matrix function. A new LL method is proposed that eliminates certain drawbacks of other LL methods. Numerical results for two examples are presented to demonstrate the low error incurred by the new LL method and its advantages over other LL methods.
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