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

Authors 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)

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Cites work

• scientific article; zbMATH DE number 44054 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
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• Approximation of continuous time stochastic processes by the local linearization method revisited
• Convergence analysis of a splitting method for stochastic differential equations
• Langevin diffusions and Metropolis-Hastings algorithms
• Langevin-type models II: Self-targeting candidates for MCMC algorithms
• Langevin-type models. I: Diffusions with given stationary distributions and their discretizations
• Local linearization method for the numerical solution of stochastic differential equations
• Miscellanea. A statistical method of estimation and simulation for systems of stochastic differential equations
• Simulation and inference for stochastic differential equations. With R examples.
• The dynamics of stochastic volatility: evidence from underlying and options markets
• The local linearization scheme for nonlinear diffusion models with discontinuous coefficients
• Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes

Cited in

(11)

• A weak local linearization scheme for stochastic differential equations with multiplicative noise
• A stable numerical scheme for stochastic differential equations with multiplicative noise
• Parameter estimation in nonlinear multivariate stochastic differential equations based on splitting schemes
• On the numerical integration of the undamped harmonic oscillator driven by independent additive Gaussian white noises
• A Note on the Rate of Convergence of the Euler–Maruyama Method for Stochastic Differential Equations
• Improved bridge constructs for stochastic differential equations
• Rate of convergence of local linearization schemes for random differential equations
• A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems
• Convergence of Eigenvalues in State-Discretization of Linear Stochastic Systems
• Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise
• scientific article; zbMATH DE number 1009510 (Why is no real title available?)

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