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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: 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/
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spelling my.utm.407662017-08-09T04:21:06Z http://eprints.utm.my/id/eprint/40766/ Stochastic taylor methods for stochastic delay differential equations Rosli, Norhayati Bahar, Arifah Su, Hoe Yeak Abdul Rahman, Haliza Q Science 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 order of convergence of numerical methods for SDDEs. Three different numerical schemes of Euler method, Milstein scheme and stochastic Taylor method of order 1.5 have been derived. The performance of Euler method, Milstein scheme and stochastic Taylor method of order 1.5 are investigated in a simulation study. 2013 Article PeerReviewed Rosli, Norhayati and Bahar, Arifah and Su, Hoe Yeak and Abdul Rahman, Haliza (2013) Stochastic taylor methods for stochastic delay differential equations. Matematika, 29 (1c). pp. 241-251. ISSN 0127-8274
institution Universiti Teknologi Malaysia
building UTM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Malaysia
content_source UTM Institutional Repository
url_provider http://eprints.utm.my/
topic Q Science
spellingShingle Q Science
Rosli, Norhayati
Bahar, Arifah
Su, Hoe Yeak
Abdul Rahman, Haliza
Stochastic taylor methods for stochastic delay differential equations
description 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 order of convergence of numerical methods for SDDEs. Three different numerical schemes of Euler method, Milstein scheme and stochastic Taylor method of order 1.5 have been derived. The performance of Euler method, Milstein scheme and stochastic Taylor method of order 1.5 are investigated in a simulation study.
format Article
author Rosli, Norhayati
Bahar, Arifah
Su, Hoe Yeak
Abdul Rahman, Haliza
author_facet Rosli, Norhayati
Bahar, Arifah
Su, Hoe Yeak
Abdul Rahman, Haliza
author_sort Rosli, Norhayati
title Stochastic taylor methods for stochastic delay differential equations
title_short Stochastic taylor methods for stochastic delay differential equations
title_full Stochastic taylor methods for stochastic delay differential equations
title_fullStr Stochastic taylor methods for stochastic delay differential equations
title_full_unstemmed Stochastic taylor methods for stochastic delay differential equations
title_sort stochastic taylor methods for stochastic delay differential equations
publishDate 2013
url http://eprints.utm.my/id/eprint/40766/
_version_ 1643650550470803456
score 13.209306

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