A note on order of convergence of numerical method for neutral stochastic functional differential equations (Q430392): Difference between revisions
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Property / author: Yi Shen / rank | |||
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The authors consider \(n\)-dimensional neutral stochastic functional differential equations of the form \[ d[x(t)-u(x_{t})]=f(x_{t})dt+g(x_{t})dw(t),\;t\geq0,\;x(t)\in\mathbb{R}^{n}, \] with initial data \(x_{0},\;x_{t}=\{x(t+\theta):-\tau\leq\theta\leq 0\}\in\mathbb{C}([-\tau,0])\), \(\;w(t)\) is an \(m\)-dimensional Brownian motion, \(f,\;g,\) and \(u\) are given functionals of the corresponding dimensions on \(\mathbb{C}([-\tau,0]).\) The authors study the order of convergence of the Euler-Maruyama method for such equations. They prove some convergence theorems both under the global and under the local Lipschitz conditions. | |||
Property / review text: The authors consider \(n\)-dimensional neutral stochastic functional differential equations of the form \[ d[x(t)-u(x_{t})]=f(x_{t})dt+g(x_{t})dw(t),\;t\geq0,\;x(t)\in\mathbb{R}^{n}, \] with initial data \(x_{0},\;x_{t}=\{x(t+\theta):-\tau\leq\theta\leq 0\}\in\mathbb{C}([-\tau,0])\), \(\;w(t)\) is an \(m\)-dimensional Brownian motion, \(f,\;g,\) and \(u\) are given functionals of the corresponding dimensions on \(\mathbb{C}([-\tau,0]).\) The authors study the order of convergence of the Euler-Maruyama method for such equations. They prove some convergence theorems both under the global and under the local Lipschitz conditions. / rank | |||
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Property / reviewed by: Grigori N. Milstein / rank | |||
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Property / Mathematics Subject Classification ID: 65C30 / rank | |||
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Property / Mathematics Subject Classification ID: 34K50 / rank | |||
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Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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Property / Mathematics Subject Classification ID: 60H35 / rank | |||
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Property / zbMATH DE Number: 6048886 / rank | |||
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neutral stochastic functional differential equations | |||
Property / zbMATH Keywords: neutral stochastic functional differential equations / rank | |||
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local Lipschitz condition | |||
Property / zbMATH Keywords: local Lipschitz condition / rank | |||
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order of convergence | |||
Property / zbMATH Keywords: order of convergence / rank | |||
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Euler-Maruyama method | |||
Property / zbMATH Keywords: Euler-Maruyama method / rank | |||
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Revision as of 23:45, 29 June 2023
scientific article
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English | A note on order of convergence of numerical method for neutral stochastic functional differential equations |
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A note on order of convergence of numerical method for neutral stochastic functional differential equations (English)
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21 June 2012
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The authors consider \(n\)-dimensional neutral stochastic functional differential equations of the form \[ d[x(t)-u(x_{t})]=f(x_{t})dt+g(x_{t})dw(t),\;t\geq0,\;x(t)\in\mathbb{R}^{n}, \] with initial data \(x_{0},\;x_{t}=\{x(t+\theta):-\tau\leq\theta\leq 0\}\in\mathbb{C}([-\tau,0])\), \(\;w(t)\) is an \(m\)-dimensional Brownian motion, \(f,\;g,\) and \(u\) are given functionals of the corresponding dimensions on \(\mathbb{C}([-\tau,0]).\) The authors study the order of convergence of the Euler-Maruyama method for such equations. They prove some convergence theorems both under the global and under the local Lipschitz conditions.
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neutral stochastic functional differential equations
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local Lipschitz condition
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order of convergence
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Euler-Maruyama method
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