ISSN:
1572-9052
Keywords:
Stochastic differential equations
;
numerical solution
;
local linearization
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Abstract The Local Linearization (LL) approach for the numerical solution of stochastic differential equations (SDEs) is extended to general scalar SDEs, as well as to non-autonomous multidimensional SDEs with additive noise. In case of autonomous SDEs, the derivation of the method introduced gives theoretical support to one of the previously proposed variants of the LL approach. Some numerical examples are given to demonstrate the practical performance of the method.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF00052324
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