An analytic approximation of solutions of stochastic differential equations

DOI10.1016/S0898-1221(04)90074-0zbMATH Open1075.60067MaRDI QIDQ1767809FDOQ1767809

Authors: Svetlana Janković, Dejan Ilić 

Publication date: 8 March 2005

Published in: Computers & Mathematics with Applications (Search for Journal in Brave)

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zbMATH Keywords

Taylor approximations\(L^p\) -convergence, convergence with probability one

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Cites Work

• On stochastic differential equations
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• A survey of numerical methods for stochastic differential equations
• Random differential inequalities
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• Continuous Markov processes and stochastic equations
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• The rate of convergence for approximate solutions of stochastic differential equations
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Cited In (36)

• Title not available (Why is that?)
• A Taylor approximation method of stochastic integro-differential equations
• An analytic approximation of solutions of stochastic differential delay equations with Markovian switching
• Analysis and numerical approximation of a class of two-way diffusions
• Analytic approximation of the solutions of stochastic differential delay equations with Poisson jump and Markovian switching
• Highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama method
• Stochastic analysis method for hopf's equation u_t+ uu_x=0
• A Taylor polynomial approach in approximations of solution to pantograph stochastic differential equations with Markovian switching
• An application of Taylor series in the approximation of solutions to stochastic differential equations with time-dependent delay
• Taylor approximation of the solutions of stochastic differential delay equations with Poisson jump
• On one approximation of a solution of nonlinear stochastic differential equations with a drift and its application
• An approximate method via Taylor series for stochastic functional differential equations
• On the Itô-Alekseev-Gröbner formula for stochastic differential equations
• Title not available (Why is that?)
• One linear analytic approximation for stochastic integrodifferential equations
• ANALYSIS OF HEIGHT CURVES BY STOCHASTIC DIFFERENTIAL EQUATIONS
• Almost sure and \(L^p\) convergence of split-step backward Euler method for stochastic delay differential equation
• On the approximations of solutions to stochastic differential equations under polynomial condition
• A Nonlinear Transformation Method for Obtaining Approximate Analytic Steady-State Solutions of Nonlinear Stochastic Differential Equations
• Analytic solution of stochastic completion fields
• Some analytic approximations for neutral stochastic functional differential equations
• An analytic approximate method for solving stochastic integrodifferential equations
• Title not available (Why is that?)
• Taylor approximation of the solution of age-dependent stochastic delay population equations with Ornstein-Uhlenbeck process and Poisson jumps
• Analytical methods for Kolmogorov equations
• An optimal Gauss-Markov approximation for a process with stochastic drift and applications
• Title not available (Why is that?)
• Title not available (Why is that?)
• Approximate analytical solutions for a class of nonlinear stochastic differential equations
• Title not available (Why is that?)
• Application of semiclassical approximation to stochastic differential equations
• The approximate solutions of some stochastic differential equations using transformations
• Title not available (Why is that?)
• Approximation to the Solution of the System of Nonlinear Stochastic Differential Equations
• Approximate analysis of nonlinear stochastic differential equations using certain generalized quasi-moment functions
• An explicit analytic approximation of solutions for a class of neutral stochastic differential equations with time-dependent delay based on Taylor expansion

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