A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag

Journal of Computational and Applied Mathematics

Volumn 197, Issue 1, 2006, Pages 89-121

  Hofmann, Norbert ^a   Müller Gronbach, Thomas ^a  

^a OTTO VON GUERICKE UNIVERSITY   (Germany)

Author keywords

Asymptotic optimality; Exact error formulas; Minimal errors; Pathwise approximation; Stochastic delay differential equations

Indexed keywords

ALGORITHMS; ASYMPTOTIC STABILITY; DELAY CONTROL SYSTEMS; DIFFERENTIAL EQUATIONS; ERROR ANALYSIS; INTERPOLATION; STOCHASTIC CONTROL SYSTEMS;

ASYMPTOTIC OPTIMALITY; EXACT ERROR FORMULAS; MINIMAL ERRORS; PATHWISE APPROXIMATION; STOCHASTIC DELAY DIFFERENTIAL EQUATIONS;

APPROXIMATION THEORY;

EID: 33746789080     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2005.10.027     Document Type: Article

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