A note on convergence rate of a linearization method for the discretization of stochastic differential equations

被引：10

作者：

Shoji, Isao ^{[1
]}

机构：

[1] Univ Tsukuba, Grad Sch Syst & Informat Engn, Tsukuba, Ibaraki 3058573, Japan

来源：

COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION | 2011年 / 16卷 / 07期

关键词：

Stochastic differential equations; Local linearization method; Euler method; Rate of convergence; APPROXIMATION; VOLATILITY; OPTIONS; MODELS;

D O I：

10.1016/j.cnsns.2010.09.008

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This note discusses convergence rate of a linearization method for the discretization of stochastic differential equations with multiplicative noise. The method is to approximate the drift coefficient by the local linearization method and the diffusion coefficient by the Euler method. The mixed method guarantees the approximated process converges to the original one with the rate of convergence Delta t, where Delta t is the time interval of discretization. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：2667 / 2671

页数：5

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