Numerical Solutions of Neutral Stochastic Functional Differential Equations

This paper examines the numerical solutions of neutral stochastic functional differential equations ( NSFDEs) $d[x(t)\, - \,u(x_t )]\, = \,f(x_t )dt\, + \,g(x_t )dw(t),\,t \ge \,0$. The key contribution is to establish the strong mean square convergence theory of the Euler- Maruyama approximate solu...

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Bibliographic Details

Published in:	SIAM journal on numerical analysis Vol. 46; no. 4; pp. 1821 - 1841
Main Authors:	Wu, Fuke, Mao, Xuerong
Format:	Journal Article
Language:	English
Published:	Philadelphia Society for Industrial and Applied Mathematics 01.01.2008
Subjects:	Approximation Brownian motion Determinism Differential equations Integers Lipschitz condition Mathematical theorems Numerical analysis Perceptron convergence procedure Random variables Uniqueness
ISSN:	0036-1429, 1095-7170
Online Access:	Get full text
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