Local Linearization Method for the Numerical Solution of Stochastic Differential Equations
نویسندگان
چکیده
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-antonomous 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.
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تاریخ انتشار 2004