caa a22 4500 477062954 CHVBK 20180405111406.0 cr unu---uuuuu 170330e19961201xx s 000 0 eng 10.1007/BF00052324 doi (NATIONALLICENCE)springer-10.1007/BF00052324 Local Linearization method for the numerical solution of stochastic differential equations [Elektronische Daten] [R. Biscay, J. Jimenez, J. Riera, P. Valdes] The Local Linearization (LL) approach for the numerical solution of stochastic differential equations (SDEs) is extended to general scalar SDEs, as well as to non-autonomous multidimensional SDEs with additive noise. In case of autonomous SDEs, the derivation of the method introduced gives theoretical support to one of the previously proposed variants of the LL approach. Some numerical examples are given to demonstrate the practical performance of the method. The Institute of Statistical Mathematics, 1996 Stochastic differential equations nationallicence numerical solution nationallicence local linearization nationallicence Biscay R. Centre de Neureciencies de Cuba, Apartado 6880, Ciudad de la Habana, Cuba aut Jimenez J. Centre de Neureciencies de Cuba, Apartado 6880, Ciudad de la Habana, Cuba aut Riera J. Centre de Neureciencies de Cuba, Apartado 6880, Ciudad de la Habana, Cuba aut Valdes P. Centre de Neureciencies de Cuba, Apartado 6880, Ciudad de la Habana, Cuba aut Annals of the Institute of Statistical Mathematics Kluwer Academic Publishers 48/4(1996-12-01), 631-644 0020-3157 48:4<631 1996 48 10463 https://doi.org/10.1007/BF00052324 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/BF00052324 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Biscay R. Centre de Neureciencies de Cuba, Apartado 6880, Ciudad de la Habana, Cuba aut NATIONALLICENCE 700 1- Jimenez J. Centre de Neureciencies de Cuba, Apartado 6880, Ciudad de la Habana, Cuba aut NATIONALLICENCE 700 1- Riera J. Centre de Neureciencies de Cuba, Apartado 6880, Ciudad de la Habana, Cuba aut NATIONALLICENCE 700 1- Valdes P. Centre de Neureciencies de Cuba, Apartado 6880, Ciudad de la Habana, Cuba aut NATIONALLICENCE 773 0- Annals of the Institute of Statistical Mathematics Kluwer Academic Publishers 48/4(1996-12-01), 631-644 0020-3157 48:4<631 1996 48 10463 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer