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Zbl 1055.65011
Mao, Xuerong
Numerical solutions of stochastic functional differential equations. (English)
[J] LMS J. Comput. Math. 6, 141-161, electronic only (2003). ISSN 1461-1570/e

Summary: The strong mean square convergence theory is established for the numerical solutions of stochastic functional differential equations 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.

MSC 2000:: *65C30 Stochastic differential and integral equations
60H10 Stochastic ordinary differential equations
60H35 Computational methods for stochastic equations
34F05 ODE with randomness
65L20 Stability of numerical methods for ODE

Keywords: strong mean square convergence; stochastic functional differential equations; numerical results

Cited in: Zbl 1173.65004

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Zentralblatt MATH Berlin [Germany]