OpenAlex | A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag

A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag

Work

Year: 2005

Type: article

Source: Journal of Computational and Applied Mathematics

Authors Norbert Hofmann, Thomas Müller-Gronbach

Institution Otto-von-Guericke University Magdeburg

Cites: 20

Cited by: 24

Related to: 10

FWCI: 0.643

Citation percentile (by year/subfield): 87.14

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze