Numerical treatment of stochastic delay differential equations: a global error bound

DOI10.1016/j.cam.2019.04.011zbMath1416.65025OpenAlexW2947148830WikidataQ127965401 ScholiaQ127965401MaRDI QIDQ2315842

Bahar Akhtari

Publication date: 26 July 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2019.04.011

zbMATH Keywords

error analysisnumerical solutionglobal error boundstochastic delay differential equations

Mathematics Subject Classification ID

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

Cites Work

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• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations

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