The ⊝-Maruyama scheme for stochastic functional differential equations with distributed memory term *

DOI10.1515/mcma.2004.10.3-4.235zbMath1071.65004MaRDI QIDQ4655046

Evelyn Buckwar

Publication date: 10 March 2005

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2004.10.3-4.235

zbMATH Keywords

numerical experiments; local error estimates; Consistency; \(\theta\)-Maruyama method; composite Euler quadrature; composite trapezium quadrature; Ito stochastic functional differential equations

Mathematics Subject Classification ID

45J05: Integro-ordinary differential equations

45G10: Other nonlinear integral equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

60H20: Stochastic integral equations

45R05: Random integral equations

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