Discrete-time approximations of stochastic delay equations: the Milstein scheme.

DOI10.1214/aop/1078415836zbMath1062.60065OpenAlexW2048020646MaRDI QIDQ1879854

Salah-Eldin A. Mohammed, Feng Yan, Yaozhong Hu

Publication date: 15 September 2004

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1078415836

zbMATH Keywords

strong convergenceMalliavin calculusMilstein schemestochastic delay differential equationsweak differentiabilitytame Itô-formula

Mathematics Subject Classification ID

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