A note on convergence rate of a linearization method for the discretization of stochastic differential equations

DOI10.1016/J.CNSNS.2010.09.008zbMATH Open1221.65020OpenAlexW2023728506MaRDI QIDQ718587FDOQ718587

Isao Shoji

Publication date: 23 September 2011

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2010.09.008

zbMATH Keywords

rate of convergencestochastic differential equationsEuler methodlocal linearization method

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• Simulation and inference for stochastic differential equations. With R examples.
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Langevin diffusions and Metropolis-Hastings algorithms
• Miscellanea. A statistical method of estimation and simulation for systems of stochastic differential equations
• The dynamics of stochastic volatility: evidence from underlying and options markets
• Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
• Local linearization method for the numerical solution of stochastic differential equations
• The local linearization scheme for nonlinear diffusion models with discontinuous coefficients
• Approximation of continuous time stochastic processes by the local linearization method revisited
• Langevin-type models II: Self-targeting candidates for MCMC algorithms
• Approximation of continuous time stochastic processes by a local linearization method
• Langevin-type models. I: Diffusions with given stationary distributions and their discretizations

Cited In (10)

• On the numerical integration of the undamped harmonic oscillator driven by independent additive Gaussian white noises
• Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise
• Convergence of Eigenvalues in State-Discretization of Linear Stochastic Systems
• A Stable Numerical Scheme for Stochastic Differential Equations with Multiplicative 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
• Improved bridge constructs for stochastic differential equations
• Title not available (Why is that?)
• Rate of convergence of local linearization schemes for random differential equations
• Parameter estimation in nonlinear multivariate stochastic differential equations based on splitting schemes

Uses Software

• sde

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