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

Applied Mathematics Letters

Volumn 11, Issue 1, 1998, Pages 19-23

  Jimenez, J C ^a   Valdes, P A ^a   Rodriguez, L M ^a   Riera, J J ^a   Biscay, R ^a  

^a CENTRO DE NEUROCIENCIAS DE CUBA   (Cuba)

Author keywords

Local linearization; Numerical integration; Stochastic differential equations

Indexed keywords

EID: 0010534051     PISSN: 08939659     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0893-9659(97)00126-2     Document Type: Article

References (6)

1. L. Arnold, Stochastic Differential Equations: Theory and Applications, Wiley-Interscience, New York, (1974).
2. R. Biscay, J.C. Jimenez, J.J. Riera and P.A. Valdes, Local linearization method for the numerical solution of stochastic differential equations, Annals Inst. Statist. Math. 48, 631-644, (1996).
3. I. Shoji and T. Ozaki, Estimation for a continuous time stochastic processes: A new local linearization approach, Res. Memo., No. 524, The Institute of Statistical Mathematics, Tokyo, Japan, (1994).
4. J.C. Jimenez, Local linearization method for the numerical solution of stochastic differential equations and nonlinear Kalman filters, In Proceeding of the Symposium: Studies on Data Analysis by Statistical Software, Nov. 1995, Fuji Kenshu-Jyo, Japan, (1996).
5. J.R. Magnus and Neudecker, Matrix Differential Calculus with Applications in Statistics and Econometrics, John Wiley, (1988).
6. G.H. Golub and C.F. Van Loan, Matrix Computations, Second edition, John Hopkins University Press, (1989).