A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag (Q2432714)
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scientific article; zbMATH DE number 5067514
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| English | A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag |
scientific article; zbMATH DE number 5067514 |
Statements
A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag (English)
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25 October 2006
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stochastic delay differential equations
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pathwise approximation
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asymptotic optimality
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minimal errors
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exact error formulas
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comparison of methods
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constant time lag
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algorithm
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Brownian motion
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Milstein scheme
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Euler scheme
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0.8264240622520447
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0.8224768042564392
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0.8075048923492432
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0.7851596474647522
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