The LMS JCM, (3) 315-335. Published 24 Nov 2000. First received 18 Jan 2000.


Numerical analysis of explicit one-step methods for stochastic delay differential equations

Christopher T. H. Baker and Evelyn Buckwar



Abstract: We consider the problem of strong approximations of the solution of stochastic differential equations of Itô form with a constant lag in the argument. We indicate the nature of the equations of interest, and give a convergence proof in full detail for explicit one-step methods. We provide some illustrative numerical examples, using the Euler–Maruyama scheme.

This paper is available as PDF (201 KB).

All papers published in the LMS JCM are covered by a copyright agreement with the authors. Access to the papers is bound by this agreement; click here for details.

"Numerical analysis of explicit one-step methods for stochastic delay differential equations" has been subsequently referenced by the following articles :

  • Numerical solutions of stochastic functional differential equations (26 Aug 2003)
  • Weak convergence of the Euler scheme for stochastic differential delay equations (07 May 2008)
  • The pathwise convergence of approximation schemes for stochastic differential equations (11 Jun 2007)
    •

    Go to the Volume 3 index
    Return to the LMS JCM Homepage