Spurious oscillation in a uniform Euler discretisation of linear stochastic differential equations with vanishing delay (Q885944): Difference between revisions

The oscillatory behaviour of the solutions to linear stochastic differential equations with vanishing delay has been investigated by the authors in a previous paper [Funct. Differ. Equ. 11, 235--265 (2004; Zbl 1064.34068)]. Here they construct a discrete model that successfully mimics some of the properties of the continuous process. However, care must be taken: uniform mesh yields spurious oscillatory behaviour.