Numerical analysis for some stochastic delay differential equations
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conditional expectationexplicit one-step methodslinear growth conditionLipschitz conditionstochastic delay differential equations
Stochastic functional-differential equations (34K50) 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)
Recommendations
- Introduction to the numerical analysis of stochastic delay differential equations
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- Approximate solutions for a class of delay stochastic differential equations
Cited in
(10)- Numerical and analytical methods of study of stochastic systems with delay
- Numerical schemes for stochastic differential equations with variable and distributed delays: the interpolation approach
- Introduction to the numerical analysis of stochastic delay differential equations
- Numerical approximation of stochastic differential delay equation with coefficients of polynomial growth
- Numerical analysis of explicit one-step methods for stochastic delay differential equations
- Stochastic delay-differential equations
- Numerical Methods for Stochastic Delay Differential Equations Via the Wong--Zakai Approximation
- Algorithms for linear stochastic delay differential equations
- Numerical approximations for nonlinear stochastic systems with delays
- Numerical and mathematical analysis of blow-up problems for a stochastic differential equation
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