Author:
Baker Christopher T. H.,Buckwar Evelyn
Abstract
AbstractWe consider the problem of strong approximations of the solution of stochastic differential equations of Itô form with a constant lag in the argument. We indicate the nature of the equations of interest, and give a convergence proof in full detail for explicit one-step methods. We provide some illustrative numerical examples, using the Euler–Maruyama scheme.
Subject
Computational Theory and Mathematics,General Mathematics
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