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

• 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/13511/1/v36n3p2.pdf; http://umpir.ump.edu.my/id/eprint/13511/; http://www.emis.de/journals/BMMSS/vol36_3_2.html

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...