Computing the noise covariance matrix of the local linearization scheme for the numerical solution of stochastic differential equations Article

Jimenez, JC, Valdes, PA, Rodriguez, LM et al. (1998). Computing the noise covariance matrix of the local linearization scheme for the numerical solution of stochastic differential equations . 11(1), 19-23. 10.1016/S0893-9659(97)00126-2

cited authors

  • Jimenez, JC; Valdes, PA; Rodriguez, LM; Riera, JJ; Biscay, R

authors

publication date

  • January 1, 1998

keywords

  • Mathematics
  • Mathematics, Applied
  • Physical Sciences
  • Science & Technology
  • local linearization
  • numerical integration
  • stochastic differential equations

Digital Object Identifier (DOI)

publisher

  • PERGAMON-ELSEVIER SCIENCE LTD

start page

  • 19

end page

  • 23

volume

  • 11

issue

  • 1