SCOPUS 정보 검색 플랫폼

Volumn 15, Issue 6, 2002, Pages 775-780

A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations

Author keywords

Local linearization method; Numerical integration; Stochastic differential equations

Indexed keywords

EID: 31244434786 PISSN: 08939659 EISSN: None Source Type: Journal
DOI: 10.1016/S0893-9659(02)00041-1 Document Type: Article

Times cited : (41)

References (11)

1
- 0003976305
- Wiley Interscience, New York
- L. Arnold, Stochastic Differential Equations: Theory and Applications, Wiley Interscience, New York, (1974).
- (1974) Stochastic Differential Equations: Theory and Applications
- Arnold, L.¹

2
- 0033070774
- Simulation of stochastic differential equations through the Local Linearization method. A comparative study
- J.C. Jimenez, I. Shoji and T. Ozaki, Simulation of stochastic differential equations through the Local Linearization method. A comparative study, J. Statist. Physics 94, 587-602, (1999).
- (1999) J. Statist. Physics , vol.94 , pp. 587-602
- Jimenez, J.C.¹ Shoji, I.² Ozaki, T.³

3
- 0002913686
- A bridge between nonlinear time series models and nonlinear stochastic dynamical systems: A local linearization approach
- T. Ozaki, A bridge between nonlinear time series models and nonlinear stochastic dynamical systems: A local linearization approach, Statistica Sinica 2, 113-135, (1992).
- (1992) Statistica Sinica , vol.2 , pp. 113-135
- Ozaki, T.¹

4
- 0032341232
- Approximation of continuous time stochastic processes by a local linearization method
- I. Shoji, Approximation of continuous time stochastic processes by a local linearization method, Math. Comput. 67, 287-298, (1998).
- (1998) Math. Comput. , vol.67 , pp. 287-298
- Shoji, I.¹

5
- 0000338219
- Local linearization method for the numerical solution of stochastic differential equations
- R. Biscay, J.C. Jimenez, J. Riera and P. Valdes, Local linearization method for the numerical solution of stochastic differential equations, Annals Inst. Statis. Math. 48, 631-644, (1996).
- (1996) Annals Inst. Statis. Math. , vol.48 , pp. 631-644
- Biscay, R.¹ Jimenez, J.C.² Riera, J.³ Valdes, P.⁴

6
- 0017981685
- Computing integrals involving the matrix exponential
- C.F. Van Loan, Computing integrals involving the matrix exponential, IEEE Trans. Autom. Control AC-23, 395-404, (1978).
- (1978) IEEE Trans. Autom. Control , vol.AC-23 , pp. 395-404
- Van Loan, C.F.¹

7
- 0004236492
- The Johns Hopkins University Press
- G.H. Golub and C.F. Van Loan, Matrix Computations, Second Edition, The Johns Hopkins University Press, (1989).
- (1989) Matrix Computations, Second Edition
- Golub, G.H.¹ Van Loan, C.F.²

8
- 0347799731
- On Krylov subspace approximations to the matrix exponential operator
- M. Hochbruck and C. Lubich, On Krylov subspace approximations to the matrix exponential operator, SIAM Numer. Anal. 34, 1911-1925, (1997).
- (1997) SIAM Numer. Anal. , vol.34 , pp. 1911-1925
- Hochbruck, M.¹ Lubich, C.²

9
- 0032010619
- EXPOKIT: Software package for computing matrix exponentials
- R.B. Sidje, EXPOKIT: Software package for computing matrix exponentials, AMC Trans. Math. Software 24 (130:156), (1998).
- (1998) AMC Trans. Math. Software , vol.24 , Issue.130-156
- Sidje, R.B.¹

10
- 85033650862
- submitted
- F. Carbonell, J.C. Jimenez and R. Biscay, A numerical method for the computation of the Lyapunov exponents of nonlinear dynamical systems, (submitted).
- A Numerical Method for the Computation of the Lyapunov Exponents of Nonlinear Dynamical Systems
- Carbonell, F.¹ Jimenez, J.C.² Biscay, R.³

11
- 85033635364
- Mathwork Inc.
- Matlab Function Reference Manual, Volume 1, Language, Mathwork Inc., (1999).
- (1999) Matlab Function Reference Manual, Volume 1, Language , vol.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.