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

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.