Approximate solutions for a class of delay stochastic differential equations

DOI10.1080/17442509108833693MaRDI QIDQ3209945zbMATH OpenOpenAlexFDO

Authors Xuerong Mao

Publication date 1991

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509108833693

zbMATH Keywords

semimartingalemean square convergencecomputer simulationsCauchy-Maruyama approximation

Mathematics Subject Classification ID

Stochastic systems and control (93E99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50)

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Cites work

• scientific article; zbMATH DE number 44587 (Why is no real title available?)
• scientific article; zbMATH DE number 3457949 (Why is no real title available?)
• A survey of numerical methods for stochastic differential equations
• Continuous Markov processes and stochastic equations
• EVENTUAL ASYMPTOTIC STABILITY FOR STOCHASTIC DIFFERNTIAL EQUATIONS WITH RESPECT TO SEMIMARTINGALES
• Existence and uniqueness of the solutions of delay stochastic integral equations
• Exponential stability in mean square for stochastic differential equations
• Hyperinvariant subspaces for bilateral weighted shifts
• LEBESGUE-STIELTJES INTEGRAL INEQUALITIES AND STOCHASTIC STABILITIES
• Stochastic differential equations and stochastic flows of diffeomorphisms

Cited in

(13)

• scientific article; zbMATH DE number 13603 (Why is no real title available?)
• BIFURCATIONS IN APPROXIMATE SOLUTIONS OF STOCHASTIC DELAY DIFFERENTIAL EQUATIONS
• Numerical analysis for some stochastic delay differential equations
• Solution to Delayed Forward and Backward Stochastic Difference Equations and Its Applications
• Approximate solutions of stochastic differential delay equations with Markovian switching
• Wong-Zakai approximations for stochastic differential equations
• scientific article; zbMATH DE number 1619463 (Why is no real title available?)
• Carathéodory approximate solutions for a class of semilinear stochastic evolution equations with time delays
• Weak discrete time approximation of stochastic differential equations with time delay
• Approximation of stochastic delay differential systems by a stochastic system without delay
• scientific article; zbMATH DE number 952887 (Why is no real title available?)
• scientific article; zbMATH DE number 4126428 (Why is no real title available?)
• Approximate solutions for a class of stochastic evolution equations with variable delays

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