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

DOI10.1016/J.CAM.2016.09.013zbMATH Open1353.65007arXiv1506.05708OpenAlexW2271760796MaRDI QIDQ344263FDOQ344263

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)

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.

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

Recommendations

• Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise
• Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
• Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise
• Stability of weak numerical schemes for stochastic differential equations
• First-order weak balanced schemes for stochastic differential equations

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)

Cites Work

• Title not available (Why is that?)
• Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
• Title not available (Why is that?)
• Title not available (Why is that?)
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Title not available (Why is that?)
• Computing real square roots of a real matrix
• Linear estimation of continuous-discrete linear state space models with multiplicative noise
• Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
• Simplified formulas for the mean and variance of linear stochastic differential equations
• Local linearization filters for non-linear continuous-discrete state space models with multiplicative noise
• Title not available (Why is that?)
• Dynamic properties of the local linearization method for initial value problems.
• Rate of convergence of local linearization schemes for initial-value problems
• Local linearization method for the numerical solution of stochastic differential equations
• The local linearization scheme for nonlinear diffusion models with discontinuous coefficients
• Numerical solution of conservative finite-dimensional stochastic Schrödinger equations
• Title not available (Why is that?)
• Numerical Methods in the Weak Sense for Stochastic Differential Equations with Small Noise
• Approximation of continuous time stochastic processes by the local linearization method revisited
• Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise
• Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
• A note on convergence rate of a linearization method for the discretization of stochastic differential equations
• Method of lines for stochastic boundary-value problems with additive noise

Cited In (12)

• Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise
• On local linearization method for stochastic differential equations driven by fractional Brownian motion
• A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations
• High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise
• Title not available (Why is that?)
• First-order weak balanced schemes for stochastic differential equations
• Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise
• Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
• Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments
• A stable numerical scheme for stochastic differential equations with multiplicative noise
• Parameter estimation in nonlinear multivariate stochastic differential equations based on splitting schemes
• Computing high dimensional multiple integrals involving matrix exponentials

This page was built for publication: A weak local linearization scheme for stochastic differential equations with multiplicative noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q344263)