A note on order of convergence of numerical method for neutral stochastic functional differential equations (Q430392): Difference between revisions
From MaRDI portal
Changed an Item |
Added link to MaRDI item. |
||
links / mardi / name | links / mardi / name | ||
Revision as of 04:58, 30 January 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A note on order of convergence of numerical method for neutral stochastic functional differential equations |
scientific article |
Statements
A note on order of convergence of numerical method for neutral stochastic functional differential equations (English)
0 references
21 June 2012
0 references
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.
0 references
neutral stochastic functional differential equations
0 references
local Lipschitz condition
0 references
order of convergence
0 references
Euler-Maruyama method
0 references