The LMS JCM, (6) 141-161. Published 26 Aug 2003. First received 08 Oct 2002.


Numerical solutions of stochastic functional differential equations

Xuerong Mao



Abstract: In this paper, the strong mean square convergence theory is established for the numerical solutions of stochastic functional differential equations (SFDEs) under the local Lipschitz condition and the linear growth condition. These two conditions are generally imposed to guarantee the existence and uniqueness of the true solution, so the numerical results given here were obtained under quite general conditions.

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"Numerical solutions of stochastic functional differential equations" has been subsequently referenced by the following articles :

  • 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)
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