An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations (Q2346272)
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| Language | Label | Description | Also known as |
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| English | An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations |
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An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations (English)
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1 June 2015
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This paper presents an adaptive continuous Euler-Maruyama method for stochastic delay differential equations (SDDEs) in which the time steps are chosen dynamically through the construction of a continuous interpolant. An error analysis and statistical errors are given. Finally, optimal discretization points are determined based on the necessary number of simulations and the standard deviation estimation of the numerical solution. The theory is illustrated by two scalar nonlinear SDDEs.
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stochastic delay differential equations
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adaptive time-stepping
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weak convergence
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continuous Euler-Maruyama method
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error analysis
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statistical errors
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