Numerical solutions of stochastic functional differential equations

Research output: Contribution to journalArticle

162 Citations (Scopus)

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.
LanguageEnglish
Pages141-161
Number of pages20
JournalLMS Journal of Computation and Mathematics
Volume6
Publication statusPublished - 2003

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Stochastic Functional Differential Equations
Differential equations
Numerical Solution
Mean-square Convergence
Convergence Theory
Lipschitz condition
Growth Conditions
Strong Convergence
Existence and Uniqueness
Numerical Results

Keywords

  • stochastic functional differential equations (SFDEs)
  • Lipschitz condition
  • linear growth condition

Cite this

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title = "Numerical solutions of stochastic functional differential equations",
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. / Mao, X.

In: LMS Journal of Computation and Mathematics, Vol. 6, 2003, p. 141-161.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Numerical solutions of stochastic functional differential equations

AU - Mao, X.

PY - 2003

Y1 - 2003

N2 - 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.

AB - 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.

KW - stochastic functional differential equations (SFDEs)

KW - Lipschitz condition

KW - linear growth condition

UR - http://www.lms.ac.uk/jcm/6/lms2002-027/sub/lms2002-027.pdf

M3 - Article

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JO - LMS Journal of Computation and Mathematics

T2 - LMS Journal of Computation and Mathematics

JF - LMS Journal of Computation and Mathematics

SN - 1461-1570

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