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Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations

  • Christopher T. H. Baker (a1) and Evelyn Buckwar (a2)

Abstract

We consider the problem of strong approximations of the solution of stochastic differential equations of Itô form with a constant lag in the argument. We indicate the nature of the equations of interest, and give a convergence proof in full detail for explicit one-step methods. We provide some illustrative numerical examples, using the Euler–Maruyama scheme.

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References

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Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations

  • Christopher T. H. Baker (a1) and Evelyn Buckwar (a2)

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