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

DOI10.1080/07362994.2012.628907zbMath1247.65005OpenAlexW1991237791MaRDI QIDQ5388155

Tony Shardlow, Peter E. Kloeden

Publication date: 18 April 2012

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: http://opus.bath.ac.uk/32123/1/taylor_delay.pdf

zbMATH Keywords

strong convergenceTaylor expansionstochastic delay differential equationMilstein method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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• Anticipating stochastic differential systems with memory
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• Pathwise Taylor schemes for random ordinary differential equations
• An approximate method via Taylor series for stochastic functional differential equations
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• An analytic approximate method for solving stochastic integrodifferential equations
• Weak Convergence of the Euler Scheme for Stochastic Differential Delay Equations
• A Delayed Black and Scholes Formula
• Pathwise convergent higher order numerical schemes for random ordinary differential equations

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