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

DOI10.1016/J.CAM.2014.10.021zbMATH Open1306.65006arXiv1312.5792OpenAlexW2053054589MaRDI QIDQ482674FDOQ482674

Authors: Juan Carlos Jimenez, Felix Carbonell 

Publication date: 6 January 2015

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

Abstract: There exists a diversity of weak Local Linearization (LL) schemes for the integration of stochastic differential equations with additive noise, which differ with respect to the algorithm that is employed in the numerical implementation of the weak Local Linear discretizations. On the contrary to the Local Linear discretization, the rate of convergence of the LL schemes has not been considered up to now. In this work, a general theorem about this issue is derived and further is applied to a number of specific schemes. As application, the convergence rate of weak LL schemes for equations with jumps is also presented.

Full work available at URL: https://arxiv.org/abs/1312.5792

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zbMATH Keywords

convergencealgorithmstochastic differential equationsadditive 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 (13)

• Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods
• Weak convergence of tamed exponential integrators for stochastic differential equations
• Efficient computation of phi-functions in exponential integrators
• Weak exponential schemes for stochastic differential equations with additive noise
• Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise
• Resolvents of the Ito differential equations multiplicative with respect to the state vector
• Parametric inference for hypoelliptic ergodic diffusions with full observations
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• A weak local linearization scheme for stochastic differential equations with multiplicative noise
• Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
• Rate of convergence of local linearization schemes for random differential equations
• Rate of convergence of local linearization schemes for initial-value problems
• Locally linearized Runge-Kutta method of Dormand and Prince for large systems of initial value problems

Uses Software

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