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

DOI10.1016/j.cnsns.2010.09.008zbMath1221.65020OpenAlexW2023728506MaRDI QIDQ718587

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)

Related Items

A weak local linearization scheme for stochastic differential equations with multiplicative noise ⋮ Improved bridge constructs for stochastic differential equations ⋮ On the numerical integration of the undamped harmonic oscillator driven by independent additive Gaussian white noises ⋮ A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems ⋮ A Stable Numerical Scheme for Stochastic Differential Equations with Multiplicative Noise

Uses Software

• sde

Cites Work

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