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Title:Euler-Maruyama and Milstein approximations for stochastic functional differential equations with distributed memory term PDF Logo
Authors:Buckwar, Evelyn
Issue Date:2003
Series/Report no.:Discussion papers of interdisciplinary research project 373 2003,16
Abstract:We consider the problem of strong approximations of the solution of stochastic functional differential equations of Itô form with a distributed delay term in the drift and diffusion coefficient. We provide necessary background material, and give convergence proofs for the Euler-Maruyama and the Milestein scheme. Numerical examples illustrate the theoretical results.
Persistent Identifier of the first edition:urn:nbn:de:kobv:11-10050011
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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