Title of article
Computing the noise covariance matrix of the local linearization scheme for the numerical solution of stochastic differential equations Original Research Article
Author/Authors
J.C. Jiménez، نويسنده , , P.A Valdes، نويسنده , , L.M Rodriguez، نويسنده , , J.J Riera، نويسنده , , R. Biscay، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1998
Pages
5
From page
19
To page
23
Abstract
An algorithm is given that computes the covariance matrix of the noise term of the local linearization scheme for the numerical integration of stochastic differential equations. The order of convergence of the resulting approximation is studied. An example is presented that illustrates the performance of the algorithm.
Keywords
Stochastic differential equations , Numerical integration , Local linearization
Journal title
Applied Mathematics Letters
Serial Year
1998
Journal title
Applied Mathematics Letters
Record number
896597
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