Stochastic Taylor Methods for Stochastic Delay Differential Equations

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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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Bibliographic Details
Main Authors:	Norhayati, Rosli, Arifah, Bahar, Hoe, Yeak Su, Haliza, Abdul Rahman
Format:	Article
Language:	English
Published:	Universiti Teknologi Malaysia 2013
Subjects:	QA Mathematics
Online Access:	http://umpir.ump.edu.my/id/eprint/13514/ http://umpir.ump.edu.my/id/eprint/13514/1/29.1c.241-251.pdf

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