The Milstein Scheme for Stochastic Delay Differential Equations Without Using Anticipative Calculus
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Publication:5388155
DOI10.1080/07362994.2012.628907zbMath1247.65005OpenAlexW1991237791MaRDI QIDQ5388155
Tony Shardlow, Peter E. Kloeden
Publication date: 18 April 2012
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: http://opus.bath.ac.uk/32123/1/taylor_delay.pdf
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites Work
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