Local linearization method for the numerical solution of stochastic differential equations

被引：58

作者：

Biscay, R

Jimenez, JC

Riera, JJ

Valdes, PA

机构：

[1] Centro de Neurociencias de Cuba, Ciudad de la Habana

来源：

ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS | 1996年 / 48卷 / 04期

关键词：

stochastic differential equations; numerical solution; local linearization;

D O I：

10.1007/BF00052324

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：631 / 644

页数：14

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