A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations

This article demonstrates a systematic derivation of stochastic Taylor methods for solving stochastic delay differential equations (SDDEs) with a constant time lag, ... The derivation of stochastic Taylor expansion for SDDEs is presented. We provide the convergence proof of one--step methods when th...

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Bibliographic Details
Published inBulletin of the Malaysian Mathematical Sciences Society Vol. 36; no. 3
Main Authors Rosli, Norhayati, Bahar, Arifah, Yeak, S H, Mao, X
Format Journal Article
LanguageEnglish
Published Heidelberg Springer Nature B.V 01.01.2013
Subjects
Mathematics
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ISSN0126-6705
2180-4206

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Summary:This article demonstrates a systematic derivation of stochastic Taylor methods for solving stochastic delay differential equations (SDDEs) with a constant time lag, ... The derivation of stochastic Taylor expansion for SDDEs is presented. We provide the convergence proof of one--step methods when the drift and diffusion functions are Taylor expansion. It is shown that the approximation solutions for SDDEs converge in the ...-norm. 2010 Mathematics Subject Classification: 65C99 (ProQuest: ... denotes formulae omitted.)
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ISSN:0126-6705
2180-4206