Computing the noise covariance matrix of the local linearization scheme for the numerical solution of stochastic differential equations

DOI10.1016/S0893-9659(97)00126-2MaRDI QIDQ2565578zbMATH OpenFDO

Authors Juan Carlos Jimenez, P. A. Valdes, L. M. Rodriguez, J. J. Riera, Rolando Biscay

Publication date 27 September 2005

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0893-9659(97)00126-2

zbMATH Keywords

numerical integration

Mathematics Subject Classification ID

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)

Cites work

• scientific article; zbMATH DE number 4213315 (Why is no real title available?)
• scientific article; zbMATH DE number 192992 (Why is no real title available?)
• scientific article; zbMATH DE number 3438157 (Why is no real title available?)
• Local linearization method for the numerical solution of stochastic differential equations

Cited in

(4)

• Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
• Computing multiple integrals involving matrix exponentials
• Simplified formulas for the mean and variance of linear stochastic differential equations
• Approximation of continuous time stochastic processes by the local linearization method revisited

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