Multi - step Maruyama methods for stochastic delay differential equations ∗
نویسنده
چکیده
In this paper the numerical approximation of solutions of Itô stochastic delay differential equations is considered. We construct stochastic linear multi-step Maruyama methods and develop the fundamental numerical analysis concerning their Lp-consistency, numerical Lp-stability and Lpconvergence. For the special case of two-step Maruyama schemes we derive conditions guaranteeing their mean-square consistency.
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