One-step approximations for stochastic functional differential equations
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Publication:2490728
error estimatesmean-square convergencedrift-implicit one-step schemessystems of Itô stochastic functional differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20) Error bounds for numerical methods for ordinary differential equations (65L70)
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Cited in
(15)- Approximate solutions of hybrid stochastic pantograph equations with Levy jumps
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- Numerical treatment of stochastic delay differential equations: a global error bound
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