Approximation of continuous time stochastic processes by the local linearization method revisited

Abstract

This paper studies the order of uniform strong convergence of two Local Linear (LL) approximations to the solution of stochastic differential equations (SDEs) with additive noise. The results obtained cover multi-dimensional and non-autonomous SDEs, and also ordinary differential equations with random initial conditions. It is demonstrated that the global order of convergence of one of the LL approximations considered is actually larger than that reported in an earlier paper, so solving an apparent discrepancy between theory and recent simulation studies.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 22 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.