A weak local linearization scheme for stochastic differential equations with multiplicative noise

DOI10.1016/J.CAM.2016.09.013MaRDI QIDQ344263zbMATH OpenOpenAlexFDO

Authors J. C. Jimenez, C. Mora, M. Selva

Publication date 22 November 2016

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.05708

zbMATH Keywords

stochastic differential equationweak convergencemean-square stabilitynumerical simulationslocal linearization scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Abstract: In this paper, a weak Local Linearization scheme for Stochastic Differential Equations (SDEs) with multiplicative noise is introduced. First, for a time discretization, the solution of the SDE is locally approximated by the solution of the piecewise linear SDE that results from the Local Linearization strategy. The weak numerical scheme is then defined as a sequence of random vectors whose first moments coincide with those of the piecewise linear SDE on the time discretization. The rate of convergence is derived and numerical simulations are presented for illustrating the performance of the scheme.

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Cited in

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• Computing high dimensional multiple integrals involving matrix exponentials
• Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise
• A stable numerical scheme for stochastic differential equations with multiplicative noise
• Parameter estimation in nonlinear multivariate stochastic differential equations based on splitting schemes
• High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise
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• A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations
• First-order weak balanced schemes for stochastic differential equations
• Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise

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