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.
| Original language | English |
|---|---|
| Pages (from-to) | 667-681 |
| Number of pages | 15 |
| Journal | Applied Numerical Mathematics |
| Volume | 56 |
| Issue number | 5 |
| DOIs | |
| Publication status | Published - May 2006 |
Fields of science
- 101002 Analysis
- 101029 Mathematical statistics
- 101014 Numerical mathematics
- 101024 Probability theory
- 101015 Operations research
- 101026 Time series analysis
- 101019 Stochastics
- 107 Other Natural Sciences
- 211 Other Technical Sciences
JKU Focus areas
- Computation in Informatics and Mathematics
- Engineering and Natural Sciences (in general)