Evelyn Buckwar,
"One-step approximations for stochastic functional differential equations"
, in Applied Numerical Mathematics, Vol. 56, Nummer 5, Elsevier Science B.V. (North-Holland), Amsterdam; IMACS, Seite(n) 667-681, 2006, ISSN: 0168-9274
Original Titel:
One-step approximations for stochastic functional differential equations
Sprache des Titels:
Englisch
Original Kurzfassung:
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.
Forschungs-