We develop two numerical schemes for solving stochastic differential
systems with memory:
(a) A strong Euler scheme for general stochastic systems with memory.
(b) A strong Milstein scheme for stochastic systems with finite
delays.
We will also discuss the convergence orders of the numerical schemes.
One of the interesting/surprising features of the Milstein scheme is
the use of the Malliavin calculus. This is dictated by the presence of
memory in the stochastic dynamics. |