A systematic derivation of stochastic Taylor methods for stochastic delay differential equations

MaRDI QIDQ360935zbMATH OpenFDO

Authors Arifah Bahar, S. H. Yeak, Xuerong Mao, Norhayati Rosli

Publication date 28 August 2013

Published in Bulletin of the Malaysian Mathematical Sciences Society. Second Series (Search for Journal in Brave)

Full work available at URL http://math.usm.my/bulletin/html/vol36_3_2.html

zbMATH Keywords

numerical solutionstochastic delay differential equationsstochastic Taylor expansionstochastic Taylor methods

Mathematics Subject Classification ID

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

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Cited in

(2)

• A Taylor method for stochastic differential equations with time-dependent delay via the polynomial condition
• 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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