Arbeitspapier

Euler-Maruyama and Milstein approximations for stochastic functional differential equations with distributed memory term

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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.

Sprache
Englisch

Erschienen in
Series: SFB 373 Discussion Paper ; No. 2003,16

Klassifikation
Wirtschaft
Thema
Analysis
Stochastischer Prozess
Theorie

Ereignis
Geistige Schöpfung
(wer)
Buckwar, Evelyn
Ereignis
Veröffentlichung
(wer)
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
(wo)
Berlin
(wann)
2003

Handle
URN
urn:nbn:de:kobv:11-10050011
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

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Objekttyp

  • Arbeitspapier

Beteiligte

  • Buckwar, Evelyn
  • Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Entstanden

  • 2003

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