Numerical analysis of explicit one-step methods for stochastic delay differential equations

Evelyn Buckwar; Christopher T.H. Baker

doi:10.1112/s1461157000000322

Numerical analysis of explicit one-step methods for stochastic delay differential equations

Evelyn Buckwar
, Christopher T.H. Baker

Institut für Stochastik

Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

Abstract

We consider the problem of strong approximations of the solution of stochastic differential equations of Itô form with a constant lag in the argument. We indicate the nature of the equations of interest, and give a convergence proof in full detail for explicit one-step methods. We provide some illustrative numerical examples, using the Euler–Maruyama scheme.

Originalsprache	Englisch
Seiten (von - bis)	315-335
Seitenumfang	21
Fachzeitschrift	LMS Journal of Computation and Mathematics
Volume	3
DOIs	https://doi.org/10.1112/s1461157000000322
Publikationsstatus	Veröffentlicht - 2000

Wissenschaftszweige

101002 Analysis
101029 Mathematische Statistik
101014 Numerische Mathematik
101024 Wahrscheinlichkeitstheorie
101015 Operations Research
101026 Zeitreihenanalyse
101019 Stochastik
107 Andere Naturwissenschaften
211 Andere Technische Wissenschaften

JKU-Schwerpunkte

Computation in Informatics and Mathematics
TNF Allgemein

Zugriff auf Dokument

10.1112/s1461157000000322

Dieses zitieren

@article{8e0745444bc34ce79a49af6eb24c11e8,

title = "Numerical analysis of explicit one-step methods for stochastic delay differential equations",

abstract = "We consider the problem of strong approximations of the solution of stochastic differential equations of It{\^o} form with a constant lag in the argument. We indicate the nature of the equations of interest, and give a convergence proof in full detail for explicit one-step methods. We provide some illustrative numerical examples, using the Euler–Maruyama scheme.",

author = "Evelyn Buckwar and Baker, \{Christopher T.H.\}",

year = "2000",

doi = "10.1112/s1461157000000322",

language = "English",

volume = "3",

pages = "315--335",

journal = "LMS Journal of Computation and Mathematics",

issn = "1461-1570",

publisher = "London Mathematical Society, London",

}

TY - JOUR

T1 - Numerical analysis of explicit one-step methods for stochastic delay differential equations

AU - Buckwar, Evelyn

AU - Baker, Christopher T.H.

PY - 2000

Y1 - 2000

N2 - We consider the problem of strong approximations of the solution of stochastic differential equations of Itô form with a constant lag in the argument. We indicate the nature of the equations of interest, and give a convergence proof in full detail for explicit one-step methods. We provide some illustrative numerical examples, using the Euler–Maruyama scheme.

AB - We consider the problem of strong approximations of the solution of stochastic differential equations of Itô form with a constant lag in the argument. We indicate the nature of the equations of interest, and give a convergence proof in full detail for explicit one-step methods. We provide some illustrative numerical examples, using the Euler–Maruyama scheme.

U2 - 10.1112/s1461157000000322

DO - 10.1112/s1461157000000322

M3 - Article

SN - 1461-1570

VL - 3

SP - 315

EP - 335

JO - LMS Journal of Computation and Mathematics

JF - LMS Journal of Computation and Mathematics

ER -