Numerical solutions of stochastic functional differential equations

Mao, X. (2003) Numerical solutions of stochastic functional differential equations. LMS Journal of Computation and Mathematics, 6. pp. 141-161. ISSN 1461-1570

Abstract

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.

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• Item metadata

  Item type:	Article
  ID code:	4588
  Dates:	Date Event 2003 Published
  Subjects:	Science > Mathematics > Probabilities. Mathematical statistics
  Department:	Faculty of Science > Mathematics and Statistics
  Depositing user:	Strathprints Administrator
  Date deposited:	05 Nov 2007
  Last modified:	16 Apr 2024 16:24
  Related URLs:	http://www.lms.ac.uk/jcm/6/lms2002-027/s...
  URI:	https://strathprints.strath.ac.uk/id/eprint/4588