A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag

DOI10.1016/j.cam.2005.10.027zbMath1107.65008OpenAlexW2021977075MaRDI QIDQ2432714

Thomas Müller-Gronbach, Norbert Hofmann

Publication date: 25 October 2006

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2005.10.027

zbMATH Keywords

algorithmcomparison of methodsBrownian motionasymptotic optimalityEuler schemeMilstein schemestochastic delay differential equationspathwise approximationconstant time lagexact error formulasminimal errors

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Convergence and stability of exponential integrators for semi-linear stochastic pantograph integro-differential equations with jump, The truncated \(\theta \)-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations, Numerical solution of stochastic state-dependent delay differential equations: convergence and stability, Convergence and stability of the Milstein scheme for stochastic differential equations with piecewise continuous arguments, Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method, Mean-square stability of semi-implicit Euler method for nonlinear neutral stochastic delay differential equations, Nonlinear filtering for stochastic systems with fixed delay: approximation by a modified Milstein scheme, Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients, Stability of stochasticθ-methods for stochastic delay integro-differential equations, Delay dependent stability of stochastic split-step \(\theta\) methods for stochastic delay differential equations, Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations

Cites Work

• Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
• Optimal pointwise approximation of SDEs based on Brownian motion at discrete points
• The optimal uniform approximation of systems of stochastic differential equations
• Discrete-time approximations of stochastic delay equations: the Milstein scheme.
• Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations
• The optimal discretization of stochastic differential equations
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item