The ⊝-Maruyama scheme for stochastic functional differential equations with distributed memory term *

DOI10.1515/mcma.2004.10.3-4.235zbMath1071.65004OpenAlexW2069607665MaRDI QIDQ4655046

Evelyn Buckwar

Publication date: 10 March 2005

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2004.10.3-4.235

zbMATH Keywords

numerical experimentslocal error estimatesConsistency\(\theta\)-Maruyama methodcomposite Euler quadraturecomposite trapezium quadratureIto stochastic functional differential equations

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Other nonlinear integral equations (45G10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20) Random integral equations (45R05)

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