Abstract
A new local linearization (LL) scheme for the numerical integration of nonautonomous multidimensional stochastic differential equations (SDEs) with additive noise is introduced. The numerical scheme is based on the local linearization of the SDE's drift coefficient by means of a truncated Ito–Taylor expansion. A comparative study with the other LL schemes is presented which shows some advantanges of the new scheme over other ones.
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Jimenez, J.C., Shoji, I. & Ozaki, T. Simulation of Stochastic Differential Equations Through the Local Linearization Method. A Comparative Study. Journal of Statistical Physics 94, 587–602 (1999). https://doi.org/10.1023/A:1004504506041
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DOI: https://doi.org/10.1023/A:1004504506041