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The ⊝-Maruyama scheme for stochastic functional differential equations with distributed memory term

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  • Buckwar Evelyn

Abstract

We consider the problem of strong approximations of the solution of Itô stochastic functional differential equations involving a distributed delay term. The mean-square consistency of a class of schemes, the ⊝-Maruyama methods, is analysed, using an appropriate Itô-formula. In particular, we investigate the consequences of the choice of a quadrature formula. Numerical examples illustrate the theoretical results.

Suggested Citation

  • Buckwar Evelyn, 2004. "The ⊝-Maruyama scheme for stochastic functional differential equations with distributed memory term," Monte Carlo Methods and Applications, De Gruyter, vol. 10(3-4), pages 235-244.
    • Handle: RePEc:bpj:mcmeap:v:10:y:2004:i:3-4:p:235-244:n:1006
    DOI: 10.1515/mcma.2004.10.3-4.235
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