A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations
Author:
- 1 August 2002
- journal article
- Published by Elsevier in Applied Mathematics Letters
- Vol. 15 (6) , 775-780
Abstract
No abstract availableKeywords
This publication has 6 references indexed in Scilit:
- Simulation of Stochastic Differential Equations Through the Local Linearization Method. A Comparative StudyJournal of Statistical Physics, 1999
- Approximation of continuous time stochastic processes by a local linearization methodMathematics of Computation, 1998
- On Krylov Subspace Approximations to the Matrix Exponential OperatorSIAM Journal on Numerical Analysis, 1997
- Local Linearization method for the numerical solution of stochastic differential equationsAnnals of the Institute of Statistical Mathematics, 1996
- Computing integrals involving the matrix exponentialIEEE Transactions on Automatic Control, 1978
- A generalized horner algorithm for computing integrals involving the matrix exponential1978