Spurious oscillation in a uniform Euler discretisation of linear stochastic differential equations with vanishing delay (Q885944)
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scientific article; zbMATH DE number 5164882
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| English | Spurious oscillation in a uniform Euler discretisation of linear stochastic differential equations with vanishing delay |
scientific article; zbMATH DE number 5164882 |
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Spurious oscillation in a uniform Euler discretisation of linear stochastic differential equations with vanishing delay (English)
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14 June 2007
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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.
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Stochastic delay differential equation
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Difference equation
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Oscillation
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Nonoscillation
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0.7463814616203308
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0.7234539985656738
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0.7217782139778137
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0.7198200225830078
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