Evelyn Buckwar,
"Introduction to the numerical analysis of stochastic delay differential equations"
, in Journal of Computational and Applied Mathematics, Vol. 125, Nummer 1-2, Elsevier Science B.V. (North-Holland), Amsterdam, Seite(n) 297-307, 2000, ISSN: 0377-0427
Original Titel:
Introduction to the numerical analysis of stochastic delay differential equations
Sprache des Titels:
Englisch
Original Kurzfassung:
We consider the problem of the numerical solution of stochastic delay differential equations of Itô form dX(t) = f(X(t),X(t-?))dt + g(X(t),X(t-?))dW(t), t\in [0,T] and X(t)=?(t) for t?[??,0], with given f,g, Wiener noise W and given ?>0, with a prescribed initial function ?. We indicate the nature of the equations of interest and give a convergence proof for explicit single-step methods. Some illustrative numerical examples using a strong Euler?Maruyama scheme are provided.