A SIMULATION STUDY OF THE LOCAL LINEARIZATION METHOD FOR THE NUMERICAL (STRONG) SOLUTION OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY ALPHA-STABLE LÉVY MOTIONS

Authors

  • Luis A. Salomón Hernández Universidad de La Habana, Facultad de Matemática y Computación, Departamento de Matemática Aplicada
  • Rolando J. Biscay Lirio Instituto de Cibernética, Matemática y Física (ICIMAF)

Keywords:

Stochastic Differential Equations, Local Linearization Method, Stable Distributions, Lévy Process, Numerical Stability

Abstract

A new variant of Local Linearization (LL) method is proposed for the numerical (strong) solution of differential equations driven by (additive) alpha-stable Lévy motions. This is studied through simulations making emphasis in comparison with the Euler method from the viewpoint of numerical stability. In particular, a number of examples of stiff equations are shown in which the Euler method has explosive behavior while the LL method correctly reproduces the dynamics of the exact trajectories

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Published

2023-06-29

How to Cite

Salomón Hernández, L. A., & Biscay Lirio, R. J. (2023). A SIMULATION STUDY OF THE LOCAL LINEARIZATION METHOD FOR THE NUMERICAL (STRONG) SOLUTION OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY ALPHA-STABLE LÉVY MOTIONS. Investigación Operacional, 28(1). Retrieved from https://revistas.uh.cu/invoperacional/article/view/6375

Issue

Vol. 28 No. 1 (2007): Investigacion Operacional

Section

Articles

License

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.