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2014 Numerical Schemes for Stochastic Differential Equations with Variable and Distributed Delays: The Interpolation Approach
Xueyan Zhao, Feiqi Deng, Shifang Kuang
Abstr. Appl. Anal. 2014: 1-11 (2014). DOI: 10.1155/2014/565812

Abstract

A kind of the Euler-Maruyama schemes in discrete forms for stochastic differential equations with variable and distributed delays is proposed. The linear interpolation method is applied to deal with the values of the solutions at the delayed instants. The assumptions of this paper on the coefficients and related parameters are somehow weaker than those imposed by the related past literature. The error estimations for the Euler-Maruyama schemes are given, which are proved to be the same as those for the fundamental Euler-Maruyama schemes.

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Xueyan Zhao. Feiqi Deng. Shifang Kuang. "Numerical Schemes for Stochastic Differential Equations with Variable and Distributed Delays: The Interpolation Approach." Abstr. Appl. Anal. 2014 1 - 11, 2014. https://doi.org/10.1155/2014/565812

Information

Published: 2014
First available in Project Euclid: 2 October 2014

zbMATH: 07022620
MathSciNet: MR3176756
Digital Object Identifier: 10.1155/2014/565812

Rights: Copyright © 2014 Hindawi

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