Weak Convergence of the Euler Scheme for Stochastic Differential Delay Equations
نویسندگان
چکیده
منابع مشابه
The Weak Euler Scheme for Stochastic Differential Delay Equations
We develop a weak numerical Euler scheme for non-linear stochastic delay differential equations (SDDEs) driven by multidimensional Brownian motion. The weak Euler scheme has order of convergence 1, as in the case of stochastic ordinary differential equations (SODEs) (i.e., without delay). The result holds for SDDEs with multiple finite fixed delays in the drift and diffusion terms. Although the...
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We study weak convergence of an Euler scheme for nonlinear stochastic delay differential equations (SDDEs) driven by multidimensional Brownian motion. The Euler scheme has weak order of convergence 1, as in the case of stochastic ordinary differential equations (SODEs) (i.e., without delay). The result holds for SDDEs with multiple finite fixed delays in the drift and diffusion terms. Although ...
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ژورنال
عنوان ژورنال: LMS Journal of Computation and Mathematics
سال: 2008
ISSN: 1461-1570
DOI: 10.1112/s146115700000053x