One-step approximations for stochastic functional differential equations
One-step approximations for stochastic functional differential equations
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DOI：
10.1016/j.apnum.2005.05.001
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发表时间：
2006-05
影响因子：
2.8
通讯作者：
E. Buckwar
中科院分区：
文献类型：
--
作者：
E. Buckwar
研究了伊藤随机泛函微分方程解的强逼近问题。我们开发了一个一般框架的漂移隐式一步计划的解决方案SFDES的强收敛。一些例子说明了该框架的适用性。
We consider the problem of strong approximations of the solution of Itô stochastic functional differential equations (SFDEs). We develop a general framework for the strong convergence of drift-implicit one-step schemes to the solution of SFDEs. Several examples illustrate the applicability of the framework.