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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| Format: | Journal |
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MATEMATIKA, UTM Centre for Industrial and Applied Mathematics (UTM-CIAM), Universiti Teknologi Malaysia
2013
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| Online Access: | http://www.myjurnal.my/public/article-view.php?id=78117 |