Mao, X. (2003) Numerical solutions of stochastic functional differential equations. LMS Journal of Computation and Mathematics, 6. pp. 141-161. ISSN 1461-1570Full text not available in this repository. (Request a copy from the Strathclyde author)
In this paper, the strong mean square convergence theory is established for the numerical solutions of stochastic functional differential equations (SFDEs) under the local Lipschitz condition and the linear growth condition. These two conditions are generally imposed to guarantee the existence and uniqueness of the true solution, so the numerical results given here were obtained under quite general conditions.
|Keywords:||stochastic functional differential equations (SFDEs), Lipschitz condition, linear growth condition, Probabilities. Mathematical statistics, Mathematics(all), Computational Theory and Mathematics|
|Subjects:||Science > Mathematics > Probabilities. Mathematical statistics|
|Department:||Faculty of Science > Mathematics and Statistics|
|Depositing user:||Strathprints Administrator|
|Date Deposited:||05 Nov 2007|
|Last modified:||10 Mar 2017 04:48|