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...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Teknologi Malaysia
2013
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| Subjects: | |
| Online Access: | http://umpir.ump.edu.my/id/eprint/13514/1/29.1c.241-251.pdf http://umpir.ump.edu.my/id/eprint/13514/ http://dx.doi.org/10.11113/matematika.v29.n.597 |
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