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2005-11-03Buch DOI: 10.18452/2585
The Theta-Maruyama scheme for stochastic functional differential equations with distributed memory term
dc.contributor.authorBuckwar, Evelyn
dc.date.accessioned2017-06-15T17:38:11Z
dc.date.available2017-06-15T17:38:11Z
dc.date.created2005-11-03
dc.date.issued2005-11-03none
dc.identifier.urihttp://edoc.hu-berlin.de/18452/3237
dc.description.abstractWe 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 Theta-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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.relation.ispartofseriesPreprints aus dem Institut für Mathematik - 13, Mathematik-Preprints, ISSN:0863-0976
dc.subjectComputational methods for stochastic equationseng
dc.subjectStochastic differential and integral equationseng
dc.subject.ddc510 Mathematik
dc.titleThe Theta-Maruyama scheme for stochastic functional differential equations with distributed memory term
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10052197
dc.identifier.doihttp://dx.doi.org/10.18452/2585
local.edoc.container-titlePreprints aus dem Institut für Mathematik
local.edoc.container-titleMathematik-Preprints
local.edoc.container-issn0863-0976
local.edoc.pages10
local.z-edoc.journal-periodikumAusgabe13,
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2004
local.edoc.container-issue13
local.edoc.container-year2004
local.edoc.container-erstkatid2075199-0

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