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Numerical Solutions of Stochastic Functional Differential Equations

Published online by Cambridge University Press:  01 February 2010

Xuerong Mao
Xuerong Mao
Affiliation:
Department of Statistics and Modelling Science, University of Strathclyde, Glasgow G1 [email protected], http://www.stams.strath.ac.uk/~xuerong

Abstract

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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.

Type
Research Article
Information
LMS Journal of Computation and Mathematics , Volume 6 , 2003 , pp. 141 - 161
Copyright
Copyright © London Mathematical Society 2003

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