Euler-Maruyama and Milstein approximations for stochastic functional differential equations with distributed memory term

Evelyn Buckwar

No 2003,16, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: We consider the problem of strong approximations of the solution of stochastic functional differential equations of Itô form with a distributed delay term in the drift and diffusion coefficient. We provide necessary background material, and give convergence proofs for the Euler-Maruyama and the Milestein scheme. Numerical examples illustrate the theoretical results.

Date: 2003
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