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https://hdl.handle.net/10419/22231
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Buckwar, Evelyn | en |
dc.date.accessioned | 2009-01-29T14:54:56Z | - |
dc.date.available | 2009-01-29T14:54:56Z | - |
dc.date.issued | 2003 | - |
dc.identifier.pi | urn:nbn:de:kobv:11-10050011 | en |
dc.identifier.uri | http://hdl.handle.net/10419/22231 | - |
dc.description.abstract | 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. | en |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlin | en |
dc.relation.ispartofseries | |aSFB 373 Discussion Paper |x2003,16 | en |
dc.subject.ddc | 330 | en |
dc.subject.stw | Analysis | en |
dc.subject.stw | Stochastischer Prozess | en |
dc.subject.stw | Theorie | en |
dc.title | Euler-Maruyama and Milstein approximations for stochastic functional differential equations with distributed memory term | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 379250098 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:sfb373:200316 | en |
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