Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4646405 | Applied Numerical Mathematics | 2006 | 15 Pages |
Abstract
We consider the problem of strong approximations of the solution of Itô stochastic functional differential equations (SFDEs). We develop a general framework for the strong convergence of drift-implicit one-step schemes to the solution of SFDEs. Several examples illustrate the applicability of the framework.
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Physical Sciences and Engineering
Mathematics
Computational Mathematics