Sample path approximation for stochastic integro-differential equations

DOI10.1080/07362999908809621MaRDI QIDQ4261533zbMATH OpenOpenAlexFDO

Authors

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

Euler-Maruyama stochastic difference schemestochastic integro-differential equationweak convergence

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 3469311 (Why is no real title available?)
• Stochastic averaging principle for systems with pathwise uniqueness

Cited in

(10)

• Quasi-integrals and stochastic integration along sample paths
• The stochastic \(\Theta\)-method for nonlinear stochastic Volterra integro-differential equations
• Stochastic integration and differential equations for typical paths
• A class of stochastic differential equations with the time average
• Reliability of difference analogues to preserve stability properties of stochastic Volterra integro-differential equations
• Sample path approximation for a class of stochastic systems
• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
• A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus
• Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions
• Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations

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