Simulation of stochastic differential equations through the local linearization method. A comparative study

DOI10.1023/A:1004504506041MaRDI QIDQ1809688zbMATH OpenOpenAlexFDO

Authors Juan Carlos Jimenez, Isao Shoji, Tohru Ozaki

Publication date 27 January 2000

Published in Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1004504506041

zbMATH Keywords

local linearization methodnumerical solutionstochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Review text

For nonautonomous multidimensional SDE with additive noise \(dx(t)=f(t,x) dt+g(t) dW(t)\) with \(f\in C^{1,2}\) and \(g\in C^1\) the new local linearization scheme is introduced. It is based on the local linearization of the SDE's drift coefficient by means of a truncated Itô-Taylor expansion and combines the approximations developed by \textit{R. Biscay, J. C. Jimenez, J. J. Riera} and \textit{P. A. Valdes} [J. Ann. Inst. Stat. Math. 48, No. 4, 631-644 (1996)] and \textit{I. Shoji} and \textit{T. Ozaki} [Stochastic Anal. Appl. 16, No. 4, 733-752 (1998; Zbl 0912.60078)]. A comparative study shows better accuracy in comparison with other schemes.

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Cited in

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• High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise
• The local linearization scheme for nonlinear diffusion models with discontinuous coefficients
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• 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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• Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler-Maruyama approach
• Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space-time noise
• Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise
• Approximation of continuous time stochastic processes by the local linearization method revisited
• Local linearization filters for non-linear continuous-discrete state space models with multiplicative noise
• A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems
• Locally linearized methods for the simulation of stochastic oscillators driven by random forces
• Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model
• Local Linear Approximations of Jump Diffusion Processes
• A Girsanov particle filter in nonlinear engineering dynamics
• Parameter estimation in nonlinear multivariate stochastic differential equations based on splitting schemes
• Weak convergence of tamed exponential integrators for stochastic differential equations
• A theory of generalized coordinates for stochastic differential equations
• The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach

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