Sample path approximation for stochastic integro-differential equations

DOI10.1080/07362999908809621zbMath0949.60072OpenAlexW2017294286MaRDI QIDQ4261533

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Publication date: 10 May 2000

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999908809621

zbMATH Keywords

weak convergencestochastic integro-differential equationEuler-Maruyama stochastic difference scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (5)

Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods ⋮ The stochastic \(\Theta\)-method for nonlinear stochastic Volterra integro-differential equations ⋮ A class of stochastic differential equations with the time average ⋮ Reliability of difference analogues to preserve stability properties of stochastic Volterra integro-differential equations ⋮ Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations

Cites Work

• Stochastic averaging principle for systems with pathwise uniqueness
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