Discrete-time approximations of stochastic delay equations: The milstein scheme

Annals of Probability

Volumn 32, Issue 1 A, 2004, Pages 265-314

  Hu, Yaozhong ^a   Mohammed, Salah Eldin A ^b,d   Yan, Feng ^c,e  

^a UNIVERSITY OF KANSAS   (United States)

^b Southern Illinois University   (United States)

^c Williams Energy   (United States)

^d Southern Illinois University Carbondale   (United States)

^e WRC2 4   (United States)

Author keywords

Anticipating calculus; Ito circ; 's formula; Malliavin calculus; Milstein scheme; Tame functions; Weak derivatives

Indexed keywords

EID: 2142818234     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: 10.1214/aop/1078415836     Document Type: Article

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