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Humboldt-Universität Berlin >
Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/22231
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Buckwar, Evelyn | | en_US |
| dc.date.accessioned | | 2009-01-29T14:54:56Z | | - |
| dc.date.available | | 2009-01-29T14:54:56Z | | - |
| dc.date.issued | | 2003 | | en_US |
| dc.identifier.pi | | urn:nbn:de:kobv:11-10050011 | | - |
| dc.identifier.uri | | http://hdl.handle.net/10419/22231 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | | | en_US |
| dc.relation.ispartofseries | | Discussion papers of interdisciplinary research project 373 2003,16 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.stw | | Analysis | | en_US |
| dc.subject.stw | | Stochastischer Prozess | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Euler-Maruyama and Milstein approximations for stochastic functional differential equations with distributed memory term | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 379250098 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:sfb373:200316 | | - |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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