Carathéodory’s approximate solution to stochastic differential delay equation

DOI10.2298/FIL1607019KzbMath1474.60148OpenAlexW2490644883WikidataQ115229990 ScholiaQ115229990MaRDI QIDQ5279485

Young-Ho Kim

Publication date: 19 July 2017

Published in: Filomat (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2298/fil1607019k

zbMATH Keywords

Itô's formulaEuler-Maruyama approximationstochastic differential delay equationCarathéodory approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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