Introduction to the numerical analysis of stochastic delay differential equations

DOI10.1016/S0377-0427(00)00475-1zbMath0971.65004MaRDI QIDQ1841963

Evelyn Buckwar

Publication date: 1 November 2001

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

convergencenumerical resultsstrong solutionEuler-Maruyama methodexplicit single-step methodsIto stochastic delay differential equation

Mathematics Subject Classification ID

Numerical computation of solutions to systems of equations (65H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Stochastic functional-differential equations (34K50) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

• Higher-order implicit strong numerical schemes for stochastic differential equations
• Feedback and delays in neurological diseases: A modeling study using dynamical systems
• Ordinary and delay differential equations
• Probability with Martingales
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