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Simulation of Stochastic Differential Equations Through the Local Linearization Method. A Comparative Study |
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| Authors: | Jimenez J C Shoji I Ozaki T |
| Institution: | (1) Centro de Neurociencias de Cuba, Apartado, 6880 Havana, Cuba;(2) Institute of Policy and Planning Sciences, University of Tsukuba, Tsukuba, Ibaraki, 305, Japan;(3) Institute of Statistical Mathematics, 4-6-7, Minami Azabu, Minato-ku, Tokyo, 106, Japan |
| Abstract: | A new local linearization (LL) scheme for the numerical integration of nonautonomous multidimensional stochastic differential equations (SDEs) with additive noise is introduced. The numerical scheme is based on the local linearization of the SDE's drift coefficient by means of a truncated Ito–Taylor expansion. A comparative study with the other LL schemes is presented which shows some advantanges of the new scheme over other ones. |
| Keywords: | local linearization method stochastic differential equations numerical solutions |
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