Numerical Solutions of Stochastic Functional Differential Equations
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Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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- Introduction to the numerical analysis of stochastic delay differential equations
- Numerical analysis of explicit one-step methods for stochastic delay differential equations
- Numerical solutions of stochastic differential delay equations under local Lipschitz condition
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
Cited in
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- An approximate method via Taylor series for stochastic functional differential equations
- Discrete Razumikhin-type stability theorems for stochastic discrete-time delay systems
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- Using waveform relaxation methods to approximate neutral stochastic functional differential equation systems
- Taylor approximation of stochastic functional differential equations with the Poisson jump
- An averaging principle for stochastic differential delay equations with fractional Brownian motion
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- Numerical investigation of noise induced changes to the solution behaviour of the discrete FitzHugh-Nagumo equation
- The projected explicit Itô-Taylor methods for stochastic differential equations under locally Lipschitz conditions and polynomial growth conditions
- Numerical solutions of stochastic differential equations with piecewise continuous arguments under Khasminskii-type conditions
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- Monte-Carlo Galerkin approximation of fractional stochastic integro-differential equation
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- Numerical approximation of nonlinear neutral stochastic functional differential equations
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- Numerical and mathematical analysis of blow-up problems for a stochastic differential equation
- Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations
- Time discretisation and rate of convergence for the optimal control of continuous-time stochastic systems with delay
- Almost sure exponential stability of numerical solutions for stochastic delay differential equations
- Stochastic modeling of particle movement with application to marine biology and oceanography
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