One-step approximations for stochastic functional differential equations (Q2490728): Difference between revisions
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Revision as of 22:05, 19 February 2024
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| English | One-step approximations for stochastic functional differential equations |
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One-step approximations for stochastic functional differential equations (English)
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18 May 2006
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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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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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