Evelyn Buckwar, Christopher T.H. Baker,
"Numerical analysis of explicit one-step methods for stochastic delay differential equations"
, in LMS Journal of Computation and Mathematics, Vol. 3, London Mathematical Society, London, Seite(n) 315-335, 2000, ISSN: 1461-1570
Numerical analysis of explicit one-step methods for stochastic delay differential equations
Sprache des Titels:
We consider the problem of strong approximations of the solution of stochastic differential equations of Itô form with a constant lag in the argument. We indicate the nature of the equations of interest, and give a convergence proof in full detail for explicit one-step methods. We provide some illustrative numerical examples, using the Euler?Maruyama scheme.