Simulations of Two-Step Maruyama Methods for Nonlinear Stochastic Delay Differential Equations

DOI10.4208/aamm.12-12S11zbMath1262.65007MaRDI QIDQ4919324

Zhongqiang Zhang, Wan-Rong Cao

Publication date: 8 May 2013

Published in: Advances in Applied Mathematics and Mechanics (Search for Journal in Brave)

zbMATH Keywords

Burgers equationtwo-step Maruyama methodsnonlinear stochastic delay differential systemP-stability in mean-square sense

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for functional equations (65Q20)

Related Items (2)

On mean-square stability of two-step Maruyama methods for nonlinear neutral stochastic delay differential equations ⋮ Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods

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