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In this article 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 𝕃 p -consistency, numerical 𝕃 p -stability and 𝕃 p -convergence. For the special case of two-step Maruyama schemes we derive conditions guaranteeing their mean-square consistency.
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Buckwar et al. (2007) studied this question.
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