A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations
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...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | en |
| Published: |
Universiti Sains Malaysia
2013
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| Subjects: | |
| 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 |
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