scientific article; zbMATH DE number 2119869

zbMath1067.34086MaRDI QIDQ4829162

Yuriy Kazmerchuk, Jianhong Wu

Publication date: 29 November 2004

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

strong convergenceuniqueness of solutionsEuler methodsimulationsorder of convergencediscretization methodsstochastic volatility modelstochastic delay differential equationsdelay-dependent stock priceGarch(1,1)-modelrandom state-dependent time-delaystochastic systems with memory

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic functional-differential equations (34K50) Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Numerical solutions to stochastic differential and integral equations (65C30) Numerical problems in dynamical systems (65Pxx)

Related Items (2)

Numerical solution of stochastic state-dependent delay differential equations: convergence and stability ⋮ Integral boundary value problem for intuitionistic fuzzy delay partial differential equations

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