Stochastic Taylor Methods for Stochastic Delay Differential Equations
This paper demonstrates a systematic derivation of high order numerical methods from stochastic Taylor expansion for solving stochastic delay differential equations (SDDEs) with a constant time lag, r > 0 . The stochastic Taylor expansion of SDDEs is truncated at certain terms to achieve the orde...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Universiti Teknologi Malaysia
2013
|
| Subjects: | |
| Online Access: | http://umpir.ump.edu.my/id/eprint/13514/ http://umpir.ump.edu.my/id/eprint/13514/ http://umpir.ump.edu.my/id/eprint/13514/ http://umpir.ump.edu.my/id/eprint/13514/1/29.1c.241-251.pdf |