Evelyn Buckwar, Renate Winkler,
"Multi-step Maruyama methods for stochastic delay differential equations"
, in Stochastic Analysis and Applications, Vol. 25, Nummer 9, Taylor & Francis, Philadelphia, Seite(n) 933-959, 2007, ISSN: 0736-2994
Multi-step Maruyama methods for stochastic delay differential equations
Sprache des Titels:
In this article the numerical approximation of solutions of Itô stochastic delay differential equations is considered. We construct stochastic linear multi-step Maruyama methods and develop the fundamental numerical analysis concerning their p -consistency, numerical p -stability and p -convergence. For the special case of two-step Maruyama schemes we derive conditions guaranteeing their mean-square consistency.