The Milstein Scheme for Stochastic Delay Differential Equations Without Using Anticipative Calculus (Q5388155): Difference between revisions

Latest revision as of 01:40, 5 July 2024

scientific article; zbMATH DE number 6025225

Language	Label	Description	Also known as
English	The Milstein Scheme for Stochastic Delay Differential Equations Without Using Anticipative Calculus	scientific article; zbMATH DE number 6025225

Statements

instance of

scholarly article

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title

The Milstein Scheme for Stochastic Delay Differential Equations Without Using Anticipative Calculus (English)

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Stochastic Analysis and Applications

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publication date

18 April 2012

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full work available at URL

http://opus.bath.ac.uk/32123/1/taylor_delay.pdf

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zbMATH Keywords

Milstein method

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stochastic delay differential equation

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strong convergence

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Taylor expansion

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MaRDI profile type

MaRDI publication profile

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cites work

Q4002249

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A Delayed Black and Scholes Formula

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Weak Convergence of the Euler Scheme for Stochastic Differential Delay Equations

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Discrete-time approximations of stochastic delay equations: the Milstein scheme.

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An analytic approximate method for solving stochastic integrodifferential equations

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Pathwise convergent higher order numerical schemes for random ordinary differential equations

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Pathwise Taylor schemes for random ordinary differential equations

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Taylor expansions of solutions of stochastic partial differential equations with additive noise

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Q4004325

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Q4369402

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An approximate method via Taylor series for stochastic functional differential equations

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Q4319807

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Q3707054

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Anticipating stochastic differential systems with memory

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Identifiers

zbMATH Open document ID

1247.65005

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DOI

10.1080/07362994.2012.628907

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5388155

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@@ Property / cites work @@
+A Delayed Black and Scholes Formula
@@ Property / cites work: A Delayed Black and Scholes Formula / rank @@
+Normal rank
@@ Property / cites work @@
+Weak Convergence of the Euler Scheme for Stochastic Differential Delay Equations
+Normal rank
@@ Property / cites work @@
+Discrete-time approximations of stochastic delay equations: the Milstein scheme.
+Normal rank
@@ Property / cites work @@
+An analytic approximate method for solving stochastic integrodifferential equations
+Normal rank
@@ Property / cites work @@
+Pathwise convergent higher order numerical schemes for random ordinary differential equations
+Normal rank
@@ Property / cites work @@
+Pathwise Taylor schemes for random ordinary differential equations
+Normal rank
@@ Property / cites work @@
+Taylor expansions of solutions of stochastic partial differential equations with additive noise
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4369402
@@ Property / cites work: Q4369402 / rank @@
+Normal rank
@@ Property / cites work @@
+An approximate method via Taylor series for stochastic functional differential equations
+Normal rank
@@ Property / cites work @@
+Q4319807
@@ Property / cites work: Q4319807 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3707054
@@ Property / cites work: Q3707054 / rank @@
+Normal rank
@@ Property / cites work @@
+Anticipating stochastic differential systems with memory
+Normal rank