Resource title

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

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Resource description

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.

Resource author

Evelyn Buckwar

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22231

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Adapt according to the presented license agreement and reference the original author.