One-step approximations for stochastic functional differential equations (Q2490728): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 07:19, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | One-step approximations for stochastic functional differential equations |
scientific article |
Statements
One-step approximations for stochastic functional differential equations (English)
0 references
18 May 2006
0 references
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.
0 references
mean-square convergence
0 references
drift-implicit one-step schemes
0 references
systems of Itô stochastic functional differential equations
0 references
error estimates
0 references
