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, r > 0. The derivation of stochastic Taylor expansion for SDDEs is presented. We provide the convergence proof of one–step methods wh...

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Main Authors:	Norhayati, Rosli, Arifah, Bahar, S. H., Yeak, X., Mao
Format:	Article
Language:	English
Published:	Universiti Sains Malaysia 2013
Subjects:	QA Mathematics
Online Access:	http://umpir.ump.edu.my/id/eprint/13511/ http://umpir.ump.edu.my/id/eprint/13511/ http://umpir.ump.edu.my/id/eprint/13511/1/v36n3p2.pdf

id	ump-13511
recordtype	eprints
spelling	ump-135112016-12-28T08:33:05Z http://umpir.ump.edu.my/id/eprint/13511/ A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations Norhayati, Rosli Arifah, Bahar S. H., Yeak X., Mao QA Mathematics This article demonstrates a systematic derivation of stochastic Taylor methods for solving stochastic delay differential equations (SDDEs) with a constant time lag, r > 0. 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 L2-norm. Universiti Sains Malaysia 2013 Article PeerReviewed application/pdf en http://umpir.ump.edu.my/id/eprint/13511/1/v36n3p2.pdf Norhayati, Rosli and Arifah, Bahar and S. H., Yeak and X., Mao (2013) A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations. Bulletin of the Malaysian Mathematical Sciences Society, 36 (3). pp. 555-576. ISSN 0126-6705 (Print); 2180-4206 (Online) http://www.emis.de/journals/BMMSS/vol36_3_2.html
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Malaysia Pahang
building	UMP Institutional Repository
collection	Online Access
language	English
topic	QA Mathematics
spellingShingle	QA Mathematics Norhayati, Rosli Arifah, Bahar S. H., Yeak X., Mao A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations
description	This article demonstrates a systematic derivation of stochastic Taylor methods for solving stochastic delay differential equations (SDDEs) with a constant time lag, r > 0. 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 L2-norm.
format	Article
author	Norhayati, Rosli Arifah, Bahar S. H., Yeak X., Mao
author_facet	Norhayati, Rosli Arifah, Bahar S. H., Yeak X., Mao
author_sort	Norhayati, Rosli
title	A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations
title_short	A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations
title_full	A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations
title_fullStr	A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations
title_full_unstemmed	A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations
title_sort	systematic derivation of stochastic taylor methods for stochastic delay differential equations
publisher	Universiti Sains Malaysia
publishDate	2013
url	http://umpir.ump.edu.my/id/eprint/13511/ http://umpir.ump.edu.my/id/eprint/13511/ http://umpir.ump.edu.my/id/eprint/13511/1/v36n3p2.pdf
first_indexed	2023-09-18T22:16:14Z
last_indexed	2023-09-18T22:16:14Z
_version_	1777415355887517696

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

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