One-step approximations for stochastic functional differential equations

Authors:
Evelyn Buckwar
Affiliations:
Humboldt-Universität zu Berlin, Institut für Mathematik, Unter den Linden 6, 10099 Berlin, Germany
Venue:
Applied Numerical Mathematics
Year:
2006

Citing 4
Cited 0

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Abstract

We consider the problem of strong approximations of the solution of Ito stochastic functional differential equations (SFDEs). We develop a general framework for the strong convergence of drift-implicit one-step schemes to the solution of SFDEs. Several examples illustrate the applicability of the framework.