2006.2: The Weak Euler Scheme for Stochastic Differential Delay Equations
2006.2: Evelyn Buckwar, Rachel Kuske, Salah-Eldin Mohammed and Tony Shardlow (2006) The Weak Euler Scheme for Stochastic Differential Delay Equations.
This is the latest version of this eprint.
Full text available as:
|PDF - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader|
We develop a weak numerical Euler scheme for non-linear stochastic delay differential equations (SDDEs) driven by multidimensional Brownian motion. The weak Euler scheme has order of convergence 1, as in the case of stochastic ordinary differential equations (SODEs) (i.e., without delay).The result holds for SDDEs with multiple finite fixed delays in the drift and diffusion terms. Although the set-up is non-anticipating, our approach uses the Malliavin calculus and the anticipating stochastic analysis techniques of Nualart and Pardoux.
|Item Type:||MIMS Preprint|
|Subjects:||MSC 2000 > 39 Difference and functional equations|
MSC 2000 > 60 Probability theory and stochastic processes
MSC 2000 > 65 Numerical analysis
|Deposited By:||Tony Shardlow|
|Deposited On:||24 January 2006|
Available Versions of this Item
- The Weak Euler Scheme for Stochastic Differential Delay Equations (deposited 24 January 2006) [Currently Displayed]