Convergence rate of EM scheme for \normalfontđđ·đ·đžđ
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Publication:2845471
DOI10.1090/S0002-9939-2013-11886-1zbMath1277.65006arXiv1111.4130MaRDI QIDQ2845471
Publication date: 30 August 2013
Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1111.4130
jumps; Brownian motion; convergence rate; Euler-Maruyama scheme; stochastic differential delay equation; highly nonlinear
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60J65: Brownian motion
65L20: Stability and convergence of numerical methods for ordinary differential equations
34K50: Stochastic functional-differential equations
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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Cites Work
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