Stochastic functional differential equations Mean-square convergence Drift-implicit one-step schemes. One-step approximations for stochastic
functional differential equations Evelyn Buckwar Buckwar
Evelyn
Institut für Mathematik,
Humboldt-Universität zu Berlin (ISSN 0863-0976),
One-step approximations for stochastic functional differential
equations
Evelyn Buckwar
Preprint series: Institut für Mathematik,
Humboldt-Universität zu Berlin (ISSN 0863-0976),
MSC 2000
- 65C30 Stochastic differential and integral equations
- 60H35 Computational methods for stochastic equations
Abstract
We
consider the problem of strong approximations of
the solution of It\^{o} stochastic functional differential
equations (SFDEs). We develop a general framework for the
convergence of drift-implicit one-step schemes to the solution of
SFDEs. We provide examples to illustrate the applicability of the
framework.
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