We 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 ⊝-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.
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The ⊝-Maruyama scheme for stochastic functional differential equations with distributed memory term
This work was partially supported by the Deutsche Forschungsgemeinschaft grant 234499 and the SFB 373 (“Qualifikation und Simulation Ökonomischer Prozesse), Humboldt-Universität zu Berlin.
Evelyn Buckwar
1Department of Mathematics, Humboldt-Universität zu Berlin, Unter den Linden 6 10099 Berlin, Germany, email: buckwar@mathematik.hu-berlin.de
Citation Information: Monte Carlo Methods and Applications mcma. Volume 10, Issue 3-4, Pages 235–244, ISSN (Online) 1569-3961, ISSN (Print) 0929-9629, DOI: 10.1515/mcma.2004.10.3-4.235, May 2008
Publication History:
- Published Online:
- 2008-05-09
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