scientific article; zbMATH DE number 2119869

zbMATH Open1067.34086MaRDI QIDQ4829162FDOQ4829162

Yu. I. Kazmerchuk, Jianhong Wu

Publication date: 29 November 2004

Title of this publication is not available (Why is that?)

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zbMATH Keywords

simulationsstrong convergenceuniqueness of solutionsorder of convergenceEuler methodstochastic volatility modelstochastic delay differential equationsdiscretization methodsdelay-dependent stock priceGarch(1,1)-modelrandom state-dependent time-delaystochastic systems with memory

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Stochastic functional-differential equations (34K50) Generation, random and stochastic difference and differential equations (37H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Stochastic models in economics (91B70) Numerical problems in dynamical systems (65Pxx)

Cited In (6)

• Time-dependent solutions for stochastic systems with delays: perturbation theory and applications to financial physics
• Application of generalized Haar wavelet technique on simultaneous delay differential equations
• Integral boundary value problem for intuitionistic fuzzy delay partial differential equations
• Delay Stochastic Models in Finance
• Numerical solution of stochastic state-dependent delay differential equations: convergence and stability
• New results for some intuitionistic fuzzy partial functional differential equations with state-dependent delay

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