Spurious oscillation in a uniform Euler discretisation of linear stochastic differential equations with vanishing delay

Journal of Computational and Applied Mathematics

Volumn 205, Issue 2, 2007, Pages 923-935

  Appleby, John A D ^a   Kelly, Cónall ^b  

^a DUBLIN CITY UNIVERSITY   (Ireland)

^b UNIVERSITY COLLEGE CORK   (Ireland)

Author keywords

Computational methods for stochastic equations; Difference equation; Nonoscillation; Oscillation; Stochastic delay differential equation

Indexed keywords

DIFFERENCE EQUATIONS; DIFFERENTIAL EQUATIONS; LINEAR EQUATIONS; RANDOM PROCESSES;

NONOSCILLATION; STOCHASTIC DELAY DIFFERENTIAL EQUATION; STOCHASTIC EQUATIONS;

EULER EQUATIONS;

EID: 34248158654     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2006.04.062     Document Type: Article

References (10)

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