Local Linearization method for the numerical solution of stochastic differential equations
Author
Abstract
Suggested Citation
DOI: 10.1007/BF00052324
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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.
- 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.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- 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.
- 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.
- 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.
- 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.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Kamal Boukhetala & Arsalane Guidoum, 2011. "Sim.DiffProc: A Package for Simulation of Diffusion Processes in R," Working Papers hal-00629841, HAL.
- Konstantin Rybakov, 2023. "Spectral Representations of Iterated Stochastic Integrals and Their Application for Modeling Nonlinear Stochastic Dynamics," Mathematics, MDPI, vol. 11(19), pages 1-23, September.
- Torben G. Andersen & Luca Benzoni & Jesper Lund, 2002.
"An Empirical Investigation of Continuous‐Time Equity Return Models,"
Journal of Finance, American Finance Association, vol. 57(3), pages 1239-1284, June.
- Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc.
- Hu, Rong, 2020. "Almost sure exponential stability of the Milstein-type schemes for stochastic delay differential equations," Chaos, Solitons & Fractals, Elsevier, vol. 131(C).
- Tuckwell, Henry C. & Jost, Jürgen, 2012. "Analysis of inverse stochastic resonance and the long-term firing of Hodgkin–Huxley neurons with Gaussian white noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5311-5325.
- Nicola Bruti-Liberati & Eckhard Platen, 2008. "Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations," Research Paper Series 222, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- Eckhard Platen & Lei Shi, 2008. "On the Numerical Stability of Simulation Methods for SDES," Research Paper Series 234, Quantitative Finance Research Centre, University of Technology, Sydney.
- Ogawa, Shigeyoshi, 1995. "Some problems in the simulation of nonlinear diffusion processes," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 217-223.
More about this item
Keywords
Stochastic differential equations; numerical solution; local linearization;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:aistmt:v:48:y:1996:i:4:p:631-644. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.