One-step approximations for stochastic functional differential equations

Evelyn Buckwar

doi:10.1016/j.apnum.2005.05.001

One-step approximations for stochastic functional differential equations

Evelyn Buckwar

Institut für Stochastik

Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

Abstract

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.

Originalsprache	Englisch
Seiten (von - bis)	667-681
Seitenumfang	15
Fachzeitschrift	Applied Numerical Mathematics
Volume	56
Ausgabenummer	5
DOIs	https://doi.org/10.1016/j.apnum.2005.05.001
Publikationsstatus	Veröffentlicht - Mai 2006

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

10.1016/j.apnum.2005.05.001

Andere Dateien und Links

Verknüpfung zur Publikation in Scopus

Dieses zitieren

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