The ⊝-Maruyama scheme for stochastic functional differential equations with distributed memory term*

Buckwar Evelyn

Monte Carlo Methods and Applications, 2004, vol. 10, issue 3-4, 235-244

Abstract: We consider the problem of strong approximations of the solution of Itô stochastic functional differential equations involving a distributed delay term. The mean-square consistency of a class of schemes, the ⊝-Maruyama methods, is analysed, using an appropriate Itô-formula. In particular, we investigate the consequences of the choice of a quadrature formula. Numerical examples illustrate the theoretical results.

Date: 2004
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/mcma.2004.10.3-4.235 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:mcmeap:v:10:y:2004:i:3-4:p:235-244:n:1006

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/mcma/html

DOI: 10.1515/mcma.2004.10.3-4.235

Access Statistics for this article

Monte Carlo Methods and Applications is currently edited by Karl K. Sabelfeld

More articles in Monte Carlo Methods and Applications from De Gruyter
Bibliographic data for series maintained by Peter Golla ().