One-step approximations for stochastic functional differential equations (Q2490728): Difference between revisions

For systems of Itô stochastic functional differential equations, the author proves a convergence theorem in which global error estimates for a one step mean-square method are derived from estimates on its local error. The result is applied to analysis of mean-square convergence for drift-implicit one-step schemes.

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zbMATH Keywords

mean-square convergence

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drift-implicit one-step schemes

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systems of Itô stochastic functional differential equations

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error estimates

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reviewed by

Grigori N. Milstein

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MaRDI profile type

MaRDI publication profile

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cites work

Q4210940

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Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations

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Continuous \(\Theta\)-methods for the stochastic pantograph equation

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Q3804137

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Strong contractivity properties of numerical methods for ordinary and delay differential equations

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The ⊝-Maruyama scheme for stochastic functional differential equations with distributed memory term *

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Multistep methods for SDEs and their application to problems with small noise

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Solving Ordinary Differential Equations I

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Introduction to functional differential equations

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Discrete-time approximations of stochastic delay equations: the Milstein scheme.

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Higher-order implicit strong numerical schemes for stochastic differential equations

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Q4229393

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Delay differential equations: with applications in population dynamics

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Q4369402

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Numerical solutions of stochastic differential delay equations under local Lipschitz condition

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Numerical Solutions of Stochastic Functional Differential Equations

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Q4319807

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Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations

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Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noises

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Unstable invariant distributions for a class of stochastic delay equations

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Q3962274

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The Numerical Solution of Volterra Functional Differential Equations by Euler’s Method

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One-Step Methods for the Numerical Solution of Volterra Functional Differential Equations

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Approximation schemes for Itô-Volterra stochastic equations

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Probability with Martingales

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Stochastic differential algebraic equations of index 1 and applications in circuit simulation.

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Identifiers

zbMATH Open document ID

1105.65005

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DOI

10.1016/j.apnum.2005.05.001

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2490728

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-Grigori N. Milstein
@@ Property / reviewed by: Grigori N. Milstein / rank @@
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@@ Property / reviewed by @@
+Grigori N. Milstein
@@ Property / reviewed by: Grigori N. Milstein / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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+W2089013849
@@ Property / OpenAlex ID: W2089013849 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4210940
@@ Property / cites work: Q4210940 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations
+Normal rank
@@ Property / cites work @@
+Continuous \(\Theta\)-methods for the stochastic pantograph equation
+Normal rank
@@ Property / cites work @@
+Q3804137
@@ Property / cites work: Q3804137 / rank @@
+Normal rank
@@ Property / cites work @@
+Strong contractivity properties of numerical methods for ordinary and delay differential equations
+Normal rank
@@ Property / cites work @@
+The ⊝-Maruyama scheme for stochastic functional differential equations with distributed memory term *
+Normal rank
@@ Property / cites work @@
+Multistep methods for SDEs and their application to problems with small noise
+Normal rank
@@ Property / cites work @@
+Solving Ordinary Differential Equations I
@@ Property / cites work: Solving Ordinary Differential Equations I / rank @@
+Normal rank
@@ Property / cites work @@
+Introduction to functional differential equations
@@ Property / cites work: Introduction to functional differential equations / rank @@
+Normal rank
@@ Property / cites work @@
+Discrete-time approximations of stochastic delay equations: the Milstein scheme.
+Normal rank
@@ Property / cites work @@
+Higher-order implicit strong numerical schemes for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q4229393
@@ Property / cites work: Q4229393 / rank @@
+Normal rank
@@ Property / cites work @@
+Delay differential equations: with applications in population dynamics
+Normal rank
@@ Property / cites work @@
+Q4369402
@@ Property / cites work: Q4369402 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical solutions of stochastic differential delay equations under local Lipschitz condition
+Normal rank
@@ Property / cites work @@
+Numerical Solutions of Stochastic Functional Differential Equations
+Normal rank
@@ Property / cites work @@
+Q4319807
@@ Property / cites work: Q4319807 / rank @@
+Normal rank
@@ Property / cites work @@
+Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noises
+Normal rank
@@ Property / cites work @@
+Unstable invariant distributions for a class of stochastic delay equations
+Normal rank
@@ Property / cites work @@
+Q3962274
@@ Property / cites work: Q3962274 / rank @@
+Normal rank
@@ Property / cites work @@
+The Numerical Solution of Volterra Functional Differential Equations by Euler’s Method
+Normal rank
@@ Property / cites work @@
+One-Step Methods for the Numerical Solution of Volterra Functional Differential Equations
+Normal rank
@@ Property / cites work @@
+Approximation schemes for Itô-Volterra stochastic equations
+Normal rank
@@ Property / cites work @@
+Probability with Martingales
@@ Property / cites work: Probability with Martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic differential algebraic equations of index 1 and applications in circuit simulation.
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2490728