Introduction to the numerical analysis of stochastic delay differential equations

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• 作者：Buckwar ; Evelyn
• 刊名：Journal of Computational and Applied Mathematics
• 出版年：2000
• 出版时间：December 15, 2000
• 年：2000
• 卷：125
• 期：1-2
• 页码：297-307
• 全文大小：194 K

文摘

We consider the problem of the numerical solution of stochastic delay differential equations of Itô form Formula Not Shown and X(t)=Ψ(t) for tenter border=0 SRC=/images/glyphs/BOA.GIF>[−τ,0], with given f,g, Wiener noise W and given τ>0, with a prescribed initial function Ψ. We indicate the nature of the equations of interest and give a convergence proof for explicit single-step methods. Some illustrative numerical examples using a strong Euler–Maruyama scheme are provided.