Mean square convergence of one-step methods for neutral stochastic differential delay equations

被引：20
|
作者：
Zhang, Haomin [1 ]
Gan, Siqing [1 ]
机构：
[1] Cent S Univ, Sch Math Sci & Comp Technol, Changsha 410075, Hunan, Peoples R China
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2008年 / 204卷 / 02期
关键词：
Neutral stochastic differential delay equations; Drift-implicit one-step schemes; Mean square convergence; Consistency; Stochastic theta-methods; Milstein method;
D O I：
10.1016/j.amc.2008.07.034
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper deals with strong approximations of the solutions of neutral stochastic differential delay equations (NSDDEs) in Ito sense. A general framework for the strong convergence of a class of drift-implicit one-step schemes to the solutions of NSDDEs is established. Two examples to illustrate the applicability of our results are provided. (C) 2008 Elsevier Inc. All rights reserved.
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页码：884 / 890
页数：7
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