An analytic approximate method for solving stochastic integrodifferential equations

DOI10.1016/j.jmaa.2005.06.092zbMath1160.60325OpenAlexW2021037961MaRDI QIDQ2492972

Dejan Ilić, Svetlana Janković

Publication date: 9 June 2006

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2005.06.092

zbMATH Keywords

approximate solutionTaylor approximation\(L^{p}\)-convergenceconvergence with probability onestochastic integrodifferential equation

Mathematics Subject Classification ID

Stochastic integral equations (60H20)

Related Items (7)

On the approximations of solutions to stochastic differential equations under polynomial condition ⋮ Highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama method ⋮ The Milstein Scheme for Stochastic Delay Differential Equations Without Using Anticipative Calculus ⋮ An explicit analytic approximation of solutions for a class of neutral stochastic differential equations with time-dependent delay based on Taylor expansion ⋮ 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 ⋮ An approximate method via Taylor series for stochastic functional differential equations

Cites Work

• A survey of numerical methods for stochastic differential equations
• The rate of convergence for approximate solutions of stochastic differential equations
• Random differential inequalities
• An analytic approximation of solutions of stochastic differential equations
• Approximation schemes for Itô-Volterra stochastic equations
• On stochastic differential equations
• Stochastic differential equations. An introduction with applications.
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