Evelyn Buckwar,
"The ?-Maruyama scheme for stochastic functional differential equations with distributed memory term"
, in Monte Carlo Methods and Applications, Vol. 10, Nummer 3-4, Walter de Gruyter, Berlin, Seite(n) 235-244, 2004, ISSN: 0929-9629
Original Titel:
The ?-Maruyama scheme for stochastic functional differential equations with distributed memory term
Sprache des Titels:
Englisch
Original Kurzfassung:
We consider the problem of strong approximations of the solution of Itô stochastic functional differential equations involving a distributed delay term. The mean-square consistency of a class of schemes, the -Maruyama methods, is analysed, using an appropriate Itô-formula. In particular, we investigate the consequences of the choice of a quadrature formula. Numerical examples illustrate the theoretical results.
Forschungs-