The local linearization scheme for nonlinear diffusion models with discontinuous coefficients

DOI10.1016/S0167-7152(98)00191-6MaRDI QIDQ1962171zbMATH OpenOpenAlexFDO

Authors O. Stramer

Publication date 2 July 2000

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(98)00191-6

zbMATH Keywords

numerical schemesweak approximationslocal linearisationcontinuous-time threshold autoregressive model

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 3664138 (Why is no real title available?)
• scientific article; zbMATH DE number 3757565 (Why is no real title available?)
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 775841 (Why is no real title available?)
• scientific article; zbMATH DE number 932632 (Why is no real title available?)
• Approximation of continuous time stochastic processes by a local linearization method
• Comparative study of estimation methods for continuous time stochastic processes
• Continuous-time threshold AR(1) processes
• Estimation for nonlinear stochastic differential equations by a local linearization method¹
• 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
• On continuous-time threshold ARMA processes
• On the Existence and Application of Continuous-Time Threshold Autoregressions of Order Two
• Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients

Cited in

(7)

• Approximation of continuous time stochastic processes by the local linearization method revisited
• Continuous‐time threshold autoregressions with jumps: Properties, estimation, and application to electricity markets
• A weak local linearization scheme for stochastic differential equations with multiplicative noise
• First-order weak balanced schemes for stochastic differential equations
• A note on convergence rate of a linearization method for the discretization of stochastic differential equations
• Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
• A stable numerical scheme for stochastic differential equations with multiplicative noise

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