Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations

DOI10.1112/S1461157000000322zbMath0974.65008OpenAlexW2131189822MaRDI QIDQ2709393

Christopher T. H. Baker, Evelyn Buckwar

Publication date: 9 May 2001

Published in: LMS Journal of Computation and Mathematics (Search for Journal in Brave)

Full work available at URL: http://www.lms.ac.uk/jcm/3/lms2000-002/

zbMATH Keywords

convergencenumerical examplesEuler-Maruyama schemestochastic delay differential equationsone-step methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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