scientific article; zbMATH DE number 2119869
delay-dependent stock pricediscretization methodsEuler methodGarch(1,1)-modelorder of convergencerandom state-dependent time-delaysimulationsstochastic delay differential equationsstochastic systems with memorystochastic volatility modelstrong convergenceuniqueness of solutions
Ordinary differential equations and systems with randomness (34F05) Stochastic functional-differential equations (34K50) Generation, random and stochastic difference and differential equations (37H10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical solutions to stochastic differential and integral equations (65C30) Numerical problems in dynamical systems (65Pxx) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Stochastic models in economics (91B70)
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