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Local Linearization method for the numerical solution of stochastic differential equations

Author

Listed:
  • R. Biscay
  • J. Jimenez
  • J. Riera
  • P. Valdes

Abstract

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Suggested Citation

  • R. Biscay & J. Jimenez & J. Riera & P. Valdes, 1996. "Local Linearization method for the numerical solution of stochastic differential equations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 48(4), pages 631-644, December.
    • Handle: RePEc:spr:aistmt:v:48:y:1996:i:4:p:631-644
    DOI: 10.1007/BF00052324
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    References listed on IDEAS

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    1. Yoshihiro Saito & Taketomo Mitsui, 1993. "Simulation of stochastic differential equations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(3), pages 419-432, September.
    2. P. E. Kloeden & Eckhard Platen, 1989. "A survey of numerical methods for stochastic differential equations," Published Paper Series 1989-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
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    Cited by:

    1. Anna Melnykova, 2020. "Parametric inference for hypoelliptic ergodic diffusions with full observations," Statistical Inference for Stochastic Processes, Springer, vol. 23(3), pages 595-635, October.
    2. Lazaro M Sanchez-Rodriguez & Yasser Iturria-Medina & Erica A Baines & Sabela C Mallo & Mehdy Dousty & Roberto C Sotero & on behalf of The Alzheimer’s Disease Neuroimaging Initiative, 2018. "Design of optimal nonlinear network controllers for Alzheimer's disease," PLOS Computational Biology, Public Library of Science, vol. 14(5), pages 1-24, May.
    3. Stramer, O., 1999. "The local linearization scheme for nonlinear diffusion models with discontinuous coefficients," Statistics & Probability Letters, Elsevier, vol. 42(3), pages 249-256, April.
    4. H. A. Mardones & C. M. Mora, 2020. "First-Order Weak Balanced Schemes for Stochastic Differential Equations," Methodology and Computing in Applied Probability, Springer, vol. 22(2), pages 833-852, June.

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