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

DOI10.1016/j.cam.2016.09.013zbMath1353.65007arXiv1506.05708OpenAlexW2271760796MaRDI QIDQ344263

Mohammad Hasan, M. Dambrine

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 convergencenumerical simulationsmean-square stabilitylocal linearization scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) 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)

Related Items (4)

Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments ⋮ On local linearization method for stochastic differential equations driven by fractional Brownian motion ⋮ A Stable Numerical Scheme for Stochastic Differential Equations with Multiplicative Noise ⋮ Computing high dimensional multiple integrals involving matrix exponentials

Cites Work

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