The Milstein Scheme for Stochastic Delay Differential Equations Without Using Anticipative Calculus
نویسندگان
چکیده
منابع مشابه
The Milstein Scheme for Stochastic Delay Differential Equations without Anticipative Calculus
The Milstein scheme is the simplest nontrivial numerical scheme for stochastic differential equations with a strong order of convergence one. The scheme has been extended to the stochastic delay differential equations but the analysis of the convergence is technically complicated due to anticipative integrals in the remainder terms. This paper employs an elementary method to derive the Milstein...
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ژورنال
عنوان ژورنال: Stochastic Analysis and Applications
سال: 2012
ISSN: 0736-2994,1532-9356
DOI: 10.1080/07362994.2012.628907