Arbeitspapier

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

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.

Language: Englisch

Bibliographic citation: Series: SFB 373 Discussion Paper ; No. 2003,16

Classification: Wirtschaft

Subject: Analysis
Stochastischer Prozess
Theorie

Event: Geistige Schöpfung

(who): Buckwar, Evelyn

Event: Veröffentlichung

(who): Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

(where): Berlin

(when): 2003

Handle: http://hdl.handle.net/10419/22231

URN: urn:nbn:de:kobv:11-10050011

Last update: 10.03.2025, 11:44 AM CET

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Arbeitspapier

Associated

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

Time of origin

2003

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

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Other Objects (12)

Euler-Maruyama and Milstein Approximations for Stochastic Functional Differential Equations with Distributed Memory Term

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