A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag (Q2432714)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag |
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A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag (English)
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25 October 2006
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stochastic delay differential equations
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pathwise approximation
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asymptotic optimality
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minimal errors
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exact error formulas
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comparison of methods
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constant time lag
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algorithm
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Brownian motion
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Milstein scheme
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Euler scheme
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