Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise

DOI10.1007/S10543-011-0360-2MaRDI QIDQ438716zbMATH OpenOpenAlexFDO

Authors Juan Carlos Jimenez, H. de la Cruz Cancino

Publication date 31 July 2012

Published in BIT (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10543-011-0360-2

zbMATH Keywords

numerical integrationstochastic differential equationsstrong convergencesystemsadditive noiselocal linearization schemes

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)

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Cited in

(18)

• Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods
• Efficient computation of phi-functions in exponential integrators
• Locally linearized Runge Kutta method of Dormand and Prince
• Estimation of distribution algorithms for the computation of innovation estimators of diffusion processes
• scientific article; zbMATH DE number 2217619 (Why is no real title available?)
• High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise
• A weak local linearization scheme for stochastic differential equations with multiplicative noise
• A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems
• Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise
• On the oscillatory behavior of coupled stochastic harmonic oscillators driven by random forces
• A note on convergence rate of a linearization method for the discretization of stochastic differential equations
• Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
• Numerical simulation of nonlinear dynamical systems driven by commutative noise
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• Expokit

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