One-Step Approximations For Stochastic Functional Differential Equations

Buckwar, Evelyn

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Book . 2005

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https://dx.doi.org/10.18452/25...

Book . 2005

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One-Step Approximations For Stochastic Functional Differential Equations

descriptionPublicationkeyboard_double_arrow_right Book 03 Nov 2005Embargo end date: 15 Jun 2017 Germany English Publisher:Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik

Authors: Buckwar, Evelyn;

doi: 10.18452/2584

One-Step Approximations For Stochastic Functional Differential Equations

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Abstract

We consider the problem of strong approximations of the solution of It\^{o} stochastic functional differential equations (SFDEs). We develop a general framework for the convergence of drift-implicit one-step schemes to the solution of SFDEs. We provide examples to illustrate the applicability of the framework.

Country

Germany

Related Organizations

Humboldt-Universität zu Berlin
Germany

Keywords

ddc:510, Drift-implicit one-step schemes, Stochastic functional differential equations, Mean-square convergence, 510 Mathematik

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