Stochastic taylor methods for stochastic delay differential equations

• Main Authors: Rosli, Norhayati, Bahar, Arifah, Su, Hoe Yeak, Abdul Rahman, Haliza
• Format: Article
• Published: 2013
• Subjects: Q Science
• Online Access: http://eprints.utm.my/id/eprint/40766/

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...