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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Universiti Sains Malaysia
2013
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| Subjects: | |
| Online Access: | http://umpir.ump.edu.my/id/eprint/13511/ http://umpir.ump.edu.my/id/eprint/13511/1/v36n3p2.pdf |
| _version_ | 1848819490957033472 |
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| author | Norhayati, Rosli Arifah, Bahar S. H., Yeak X., Mao |
| author_facet | Norhayati, Rosli Arifah, Bahar S. H., Yeak X., Mao |
| author_sort | Norhayati, Rosli |
| building | UMP Institutional Repository |
| collection | Online Access |
| description | 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 when the drift and diffusion functions are Taylor expansion. It is shown that the approximation solutions for SDDEs converge in the L2-norm. |
| first_indexed | 2025-11-15T01:54:24Z |
| format | Article |
| id | ump-13511 |
| institution | Universiti Malaysia Pahang |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T01:54:24Z |
| publishDate | 2013 |
| publisher | Universiti Sains Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | ump-135112016-12-28T08:33:05Z http://umpir.ump.edu.my/id/eprint/13511/ A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations Norhayati, Rosli Arifah, Bahar S. H., Yeak X., Mao QA Mathematics 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 when the drift and diffusion functions are Taylor expansion. It is shown that the approximation solutions for SDDEs converge in the L2-norm. Universiti Sains Malaysia 2013 Article PeerReviewed application/pdf en http://umpir.ump.edu.my/id/eprint/13511/1/v36n3p2.pdf Norhayati, Rosli and Arifah, Bahar and S. H., Yeak and X., Mao (2013) A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations. Bulletin of the Malaysian Mathematical Sciences Society, 36 (3). pp. 555-576. ISSN 0126-6705 (Print); 2180-4206 (Online). (Published) http://www.emis.de/journals/BMMSS/vol36_3_2.html |
| spellingShingle | QA Mathematics Norhayati, Rosli Arifah, Bahar S. H., Yeak X., Mao A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations |
| title | A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations |
| title_full | A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations |
| title_fullStr | A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations |
| title_full_unstemmed | A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations |
| title_short | A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations |
| title_sort | systematic derivation of stochastic taylor methods for stochastic delay differential equations |
| topic | QA Mathematics |
| url | http://umpir.ump.edu.my/id/eprint/13511/ http://umpir.ump.edu.my/id/eprint/13511/ http://umpir.ump.edu.my/id/eprint/13511/1/v36n3p2.pdf |