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

numerical solutionstochastic differential equationslocal linearization method

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)

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Cited in

(23)

• The local linearization scheme for nonlinear diffusion models with discontinuous coefficients
• On the numerical integration of the undamped harmonic oscillator driven by independent additive Gaussian white noises
• Local linearization filters for non-linear continuous-discrete state space models with multiplicative noise
• Weak convergence of tamed exponential integrators for stochastic differential equations
• Local Linear Approximations of Jump Diffusion Processes
• A numerical scheme using Itô excursions for simulating local time resp. Stochastic differential equations with reflection
• Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise
• Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space-time noise
• Runge-Kutta Lawson schemes for stochastic differential equations
• Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model
• Approximation of continuous time stochastic processes by the local linearization method revisited
• A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations
• The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach
• High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise
• Dynamic properties of the local linearization method for initial value problems.
• A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems
• Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
• Numerical simulation of nonlinear dynamical systems driven by commutative noise
• Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler-Maruyama approach
• A Girsanov particle filter in nonlinear engineering dynamics
• Locally linearized methods for the simulation of stochastic oscillators driven by random forces
• Numerical solution of conservative finite-dimensional stochastic Schrödinger equations
• Parameter estimation in nonlinear multivariate stochastic differential equations based on splitting schemes

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