Mean square convergence of one-step methods for neutral stochastic differential delay equations

被引：20

作者：

Zhang, Haomin ^{[1
]}

Gan, Siqing ^{[1
]}

机构：

[1] Cent S Univ, Sch Math Sci & Comp Technol, Changsha 410075, Hunan, Peoples R China

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2008年 / 204卷 / 02期

关键词：

Neutral stochastic differential delay equations; Drift-implicit one-step schemes; Mean square convergence; Consistency; Stochastic theta-methods; Milstein method;

D O I：

10.1016/j.amc.2008.07.034

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper deals with strong approximations of the solutions of neutral stochastic differential delay equations (NSDDEs) in Ito sense. A general framework for the strong convergence of a class of drift-implicit one-step schemes to the solutions of NSDDEs is established. Two examples to illustrate the applicability of our results are provided. (C) 2008 Elsevier Inc. All rights reserved.

引用

页码：884 / 890

页数：7

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